I'm very new to the world of trading and have recently downloaded the NinjaTrader platform and have been playing around with the Automated Strategy Wizard.
I created a custom strategy that performs well back testing and shows good profit factors and good profit percentage. I created an instance in the strategies panel using this custom strategy to run live on a simulated account and and obviously it did not perform as well as the back test (I understand why this is, so no need to explain). So I deleted this instance in the strategies panel added some more parameters to my strategy and back tested again with good result. Again I created a new instance to run automatically on a live simulation account but this time something odd happens.
Firstly I should explain that I use Renko charts and my strategy calls for a limit order to be placed when entry conditions are met at the close price of the previous bar e.g. EnterShortLimit(DefaultQuantity, Close, "EnterShort").
Now the odd bit...
The second time I ran the automated strategy the limit order would appear but it would be several points above the close of the last bar??? It would slowly keep re-placing its self closer to the action but this wasn't on bar close it was more like tick by tick. Confused by this I deleted the second instance from the strategies panel went back into the strategy wizard and checked everything over (all seemed to be OK) finished the strategy wizard and created a new instance in the strategies panel and enabled it. This time even though entry conditions were met no orders were placed??
I thought it might be the machine, so I exited NinjaTrader using task manager, restarted the machine and went back into NinjaTrader to find all three instances still in the strategies panel! Deleteing these and creating a new instance produced the same results as the last instance. I'm so confused!
Can someone please help me out with what might be going on here?
I believe I do understand how Renko bars are constructed how ever maybe I am missing something. Could you possible explain?.
Also I don't think it is a question of slippage, the first time round the pending order appears several points (this was on the e-mini S&P500, So quite a long way) away from the requested price i.e. the close of the last Renko bar. Please correct me if I'm wrong but once the renko bar has closed there is a defined price for that close which is where the Renko bar ended? that being the case the limit order should com into effect at that price? Sorry for my ignorance if this is not the case.
The other problem is that the second time round the fact that even though all entry conditions were met no order was placed, let alone filled? What could be the cause of that?
Guess, you are still thinking in terms of time- or volume-based bars.
If you have a time-based bar, you can say ex ante where it ends; same with a volume based bar, as soon as the defined volume is hit.
I.e.: You don't need the following bar(s) to decide whether there is a close and what it is.
With Renko and its derivatives the bar at the very right side of your screen is nothing but a preliminary representation of a synthetic open
combined with the brick size that you defined. Per definition, the rightmost bar is blank/white - if it is colored, this also is preliminary. This
rightmost bar can theoretically remain open forever. So you don't have an ex ante point in time to test against (i.e.: automatical closes
of positions at session ends etc regularly won't work as expected).
The only thing you know is that at the time that you got a close, the price surely wasn't in the old brick for a moment because it either broke
the upper or lower bound that you defined - by whatever magnitude. (You can even complicate this by using UniRenko etc.) Thus it is only
per chance if you get a near fill with your order type, while most of the time you get either no fill or things like a late fill, e.g. because prices
fell back into the region of the supposed trigger brick.
In that sense it is always interesting when - esp beginners - see Renko and its derivatives like "just another fancy chart style", test it with
inappropriate engines and try to (ab)use it like time- or volume-based charts.
In sum: Renko and its derivatives are breakout/reversal techniques where "close" is an irrelevant construct.
The following user says Thank You to choke35 for this post:
Thank you for your reply and thank you for taking the time to explain this for me. I'm not sure I entirely understand your answer but I will look into Renko bars in more detail and try to get my head around it before posting anything else.
The following user says Thank You to Chrisfest85 for this post:
Since you said you are new to trading and Ninjatrader, let me give you a bit of advice: stay away from Renko bars and all of their derivatives. They are an illusion and I've never met a trader that consistently trades profitably using any form of Renko bars.
The following 2 users say Thank You to shodson for this post: