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"
The following user says Thank You to TimeTrade for this post:
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