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Backtesting range bars - problem?
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Backtesting range bars - problem?

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Backtesting range bars - problem?

I understand NT Renko bars are un-backtestable, however I was wondering if NT is plagued with the same problem in range bars... thanks for the insight

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patbateman View Post
I understand NT Renko bars are un-backtestable, however I was wondering if NT is plagued with the same problem in range bars... thanks for the insight

simple "True" Range bars you can use for any backtests !
- NoGap range bars you can not secure use for backtests, while the virtual bars used to fill any gaps have no/wrong volume and never real traded price levels
- test with range bars can give poor results, when the logic is ATR and/or vola based. The concept of rangbars is a fix HiLo delta... many strategies well detect vola or ATR changes based on different candle sizes... this well not work with range bars.

=> a good extension is the use of ChangeBars (on NT7 this is published as "MomentumBars")... this mine the range between Open and Close is constant and the candles can have a little shadow...

=> any renko bars can also use for backtest, you NEED a addon for a alternate "FillMode". JAM has written a simple variant as "FillWithCurrentClosePrice", the better and full backtestable way is programming a 2tick delayed fill price.
Now any bartypes with change virtual Open/Close of a candle can nearly exact work.
-> On RealLive you also never become the next(first) orderbook tick, if you trade with signals calculated bar on close... INET delay, NT7 delay, BrokerDelay,... if you not have a PC in the exchange IT building, 2 ticks fill delay is not poor, its is more realistic as any "FillOnOpen"

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Thanks very much for the insight!

Is the same with NT volume bars in backtesting?

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patbateman View Post
Thanks very much for the insight!

Is the same with NT volume bars in backtesting?

any volume bar types with correct partial split a current trade volume to prevent a "overfill" of a bar can normal use for any backtest. Very high volume trades on small volume charts well produce many doji candles. This is the only little problem, if you have a doji sensitiv trade logic

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TimeTrade View Post
the better and full backtestable way is programming a 2tick delayed fill price.

@TimeTrade -- Could you possibly point me in the direction of some sample/reference code for this method.


Quoting 
you NEED a addon for a alternate "FillMode". JAM has written a simple variant as "FillWithCurrentClosePrice

I'd also like to see this if you'd happen to have a link...





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Jam backtest script
https://futures.io/download/vip_elite_circle/1163-download.html?view

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