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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?
Can you help answer these questions from other members on NexusFi?
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.
All renko incarnations (NT Renko, MedianRenko, SBSRenko, WickedRenko) are unreliable for backtesting due to few issues. One of these issues is redrawing the "open" of the bar after the bar has formed.
to the forum.
