Backtesting Renko w/ "show real open" enabled - MultiCharts | futures io social day trading
futures io futures trading


Backtesting Renko w/ "show real open" enabled
Updated: Views / Replies:2,466 / 4
Created: by jesse514 Attachments:1

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors – all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you don’t need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Backtesting Renko w/ "show real open" enabled

  #1 (permalink)
Trading Apprentice
Montreal, QC
 
Futures Experience: Intermediate
Platform: MultiCharts, Ensign, Sierra, IB/TWS
Favorite Futures: CL
 
Posts: 11 since Apr 2014
Thanks: 5 given, 5 received

Backtesting Renko w/ "show real open" enabled

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!

Attached Thumbnails
Backtesting Renko w/ "show real open" enabled-renko-phantom.png  
Reply With Quote
The following 2 users say Thank You to jesse514 for this post:
 
  #2 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,524 since Apr 2013
Thanks: 229 given, 852 received
Forum Reputation: Legendary

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

Reply With Quote
The following 2 users say Thank You to ABCTG for this post:
 
  #3 (permalink)
Trading Apprentice
Montreal, QC
 
Futures Experience: Intermediate
Platform: MultiCharts, Ensign, Sierra, IB/TWS
Favorite Futures: CL
 
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.

Reply With Quote
The following 2 users say Thank You to jesse514 for this post:
 
  #4 (permalink)
Trading Apprentice
Beijing P.R.China
 
Futures Experience: Advanced
Platform: multicharts ,MetaTrader,TradeStation
Favorite Futures: gold
 
Posts: 8 since Jun 2014
Thanks: 1 given, 1 received

share my test results

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.

Reply With Quote
The following user says Thank You to guge789 for this post:
 
  #5 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,524 since Apr 2013
Thanks: 229 given, 852 received
Forum Reputation: Legendary

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.


Reply With Quote
The following user says Thank You to ABCTG for this post:

Reply



futures io > > > > Backtesting Renko w/ "show real open" enabled

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Linda Bradford Raschke: Reading The Tape

Elite only

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

January

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
"Hide/Show studies" Buttons Study slickiam Sierra Chart 9 January 7th, 2014 11:15 AM
Please show "better volume" ES Chart Assaya TradeStation 2 September 24th, 2012 05:03 PM
Fukushima: "China Syndrome Is Inevitable" ... "Huge Steam Explosions", or "Nuclear Bo Quick Summary News and Current Events 0 November 22nd, 2011 02:50 AM
How to change "Stop Loss" and "Take Profit" in "shElderImpulse" Strategy javed759 NinjaTrader 1 November 1st, 2011 11:44 PM
"Wicked Renko" indicator for NT7 tr8ermom NinjaTrader 2 November 9th, 2010 11:20 AM


All times are GMT -4. The time now is 09:23 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-11 in 0.13 seconds with 20 queries on phoenix via your IP 54.226.227.175