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Renko Tick Backtesting
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Renko Tick Backtesting

  #1 (permalink)
Elite Member
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Renko Tick Backtesting

Hi guys,

I am working on a rule based strategy over the summer as a little side project. I have settled on a strategy based on Renko bars, but I'm running into problems backtesting it.

I can only seem to find 40 days of tick data (eSignal), which isn't enough for a serious backtest, and because of the nature of Renko bars it isn't really appropriate to test it on minute (or any other) interval, it has to be on a 1 tick basis.

I have searched around the 'net a bit, and this placed kept on popping up with Renko hits; can anybody give me some guidance as to where I might be able to go forward from here?

 
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  #3 (permalink)
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Backtesting with Renko bars will paint a wonderful picture that has nothing to do with reality.

 
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Thanks for that.

I want to run backtests on more than 40 days of tick by tick data.

Anybody done it?

 
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There r few vendors who r selling historical tick data. Search for them

Also if i m not wrong , there r 5 years of tick data available in Elite section.

U can import those tick data , and Run ur backtest with it.

Btw , can u tell me what is ur platform ?

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  #6 (permalink)
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Yeah, I know I'm gonna have to get the tick data eventually I just wondered if anybody had any experience of it.

Platforms... front end = TT, eSignal for charts, NinjaTrader for fun. Also use Matlab now and then, usually regret it.

 
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Answer
This post has been selected as an answer to the original posters question Answer

Search these forums, and you will find info as to why Renko backtesting will lead you down a bad path. Short answer is that Renko bars do not reflect real live data, so your strategy will not match/work when you go live.

 
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aslan View Post
Search these forums, and you will find info as to why Renko backtesting will lead you down a bad path. Short answer is that Renko bars do not reflect real live data, so your strategy will not match/work when you go live.

I understand how Renko bars a built. Thats why I need to run the tests on Tick data.

 
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cpi65 View Post
can anybody give me some guidance as to where I might be able to go forward from here?

to the forum.

Please use the search tools. There are already many, many, many threads on this topic. Here is a recent one:

https://futures.io/ninjatrader-programming/4768-tip-backtesting-renko-charts.html

Closing this thread, we don't need another one.

Mike

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