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Backtesting Renko w/ "show real open" enabled


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Backtesting Renko w/ "show real open" enabled

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  #1 (permalink)
Montreal, QC
 
 
Posts: 11 since Apr 2014
Thanks: 5 given, 5 received

I have read some discussion of how backtesting with Renko bars is difficult since their open price is not accurate, but have seen nothing about Multicharts’ “show real open” feature. I have a few questions…

1) Can backtesting results from Renko charts set to “show real open” be trusted (assuming I buy at open and therefore my entry price is always the same as the open price)? Right now I’m backtesting CL with 2 different chart types based on the data I have at my disposal, both with “show wicks” and “show real open” :

- 10 tick bricks built from tick data
- 10 tick bricks built from 1-min bars

The entry prices seem realistic to me. The problem with standard Renkos is that MC builds the charts based on subsequent price movement, giving the charts “advanced knowledge” which the strategies then take advantage of in backtesting but do not have with real-time data. But this shouldn’t be the case when ‘show real open’ is set, right?

2) Also, I assume the Renko charts with tick resolution are more accurate than the 1-min resolution, but do you think the 1-min results are generally accurate? This would depend on how MC interprets with 1-min intrabar price movement I guess.

3) Lastly, phantom bars. When “show phantom bars” is enabled/disabled, the charts with tick resolution do not change (good sign!) but with phantom bars disabled the charts with 1-min resolution change significantly. They seem unrealistic since suddenly there are 15 or 20-tick gaps in the middle of trading hours which obviously are not present in the 1-min data. Does anyone know why this happens? See attached screenshot for example.

Thanks! And if there is any other relevant Renko-related backtesting info you want to share please feel free to do so!

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  #2 (permalink)
 
 
Posts: 2,230 since Apr 2013
Thanks: 409 given, 1,471 received

jesse514,

from experience I can give you one advice when it comes to exotic bars - be extremely careful of the tests you do. If you have access to a simulated account compare one signal with strategy automation enabled and one just running on the chart. Many times you will see that the signal that is connected to the brokerage account can't get the prices that the one just running on the chart displays.
In my opinion testing this soon is time well spend, I have seen too many holy grails turning out to be a fallacy caused by the bar types used.

Regards,
ABCTG

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  #3 (permalink)
Montreal, QC
 
 
Posts: 11 since Apr 2014
Thanks: 5 given, 5 received


Thanks, I agree; forward testing in real-time is the only way to confirm (and avoid wasting time on false hope).

As a small update, I set up my strategy to use two data sets, so it decides when to trade based on data2 (renko bars built from tick data) but executes on data1 (tick chart with 1-tick resolution). The backtested results from this are exactly the same as results from just using a renko chart built from tick data. Forward testing in real-time will confirm, but so far it seems that using Renko bars compiled from tick data and with "show real open" enabled are able to give accurate backtesting results, BUT only when the strategy enters the trade at the open of the next renko bar. If the strategy sets an entry price X ticks away that subsequent bars must penetrate then my results are quite different between the two different chart setups.

Still, I'm surprised I haven't seen discussion of MultiCharts' "show real open" Renko feature since there was much discussion a few years ago about wanting this feature, or trying to get 3rd party solutions to make this feature possible.

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  #4 (permalink)
Beijing P.R.China
 
 
Posts: 8 since Jun 2014
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MC 's renko will change significantly when you look at it in different days. It's not good. I tested it by forward trading and found out that it counld only diliver sad results if I build a system according to back testing. 2problems : trades cannot be showen exactly at the bar it really traded; historical renko bar will change unexpectedly in next days.it's just chaos.

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  #5 (permalink)
 
 
Posts: 2,230 since Apr 2013
Thanks: 409 given, 1,471 received

guge789,

this depends on the resolutions you set for Renko bars. In my opinion historical charts with a resolution other than 1 tick are likely to show different results realtime.

Regards,
ABCTG


guge789 View Post
MC 's renko will change significantly when you look at it in different days. It's not good. I tested it by forward trading and found out that it counld only diliver sad results if I build a system according to back testing. 2problems : trades cannot be showen exactly at the bar it really traded; historical renko bar will change unexpectedly in next days.it's just chaos.


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