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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"
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
Here is a script that I had my programmer write up for backtesting Renko bars, it uses the close of this bar instead of NinjaTraders default setting "open of next bar" This is very useful for system backtesting Renko bars.
The .cs file needs to be …
