Support Board
Date/Time: Mon, 25 Nov 2024 20:49:12 +0000
Post From: Renko Chart Bar Based Backtesting Flattening Issue
| [2024-02-18 17:44:19] |
| User61168 - Posts: 403 |
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Thanks. Couple of more perspectives…. 1) I would not trade (and test) pure micros as trading cost is just too high and unsustainable to scale up. Better option is to generate trade signals on ES and enter trades on MES allowing you to smoothly transition over to ES as account size grows. 2) I don’t use timecharts but since you mentioned volume charts (which are variable time/variable length bar charts), using or not using “fill gaps” option could affect results. I am still not settled on whether to use fill gaps or not since I only use market orders for all trade executions. 3) Look into variable length Renko and that’s all I can say about Renko. These look good to the eye but actual executions on tick makes a difference. 4) I have developed and tested over 500+ strategies and they all have one thing in common….. the work great for first 2-3 months and then start to decay and results become unpredictable once the symbol changes or change in fundamentals or seasonality or for some unknown reason. I would love to put the blame on continuous rollover stuff in SC but I have no hard evidence to put any blame on SC:-) One thing that consistently happens to me in replay is the “slippage” during exit trade on candle close”. During fast markets, my exits in replay take place after 3-6 bars or many times, won’t exit at all (particularly an issue with Renko imo) Based on this evidence, bar to bar trading strategies on variable length bars are fundamentally flawed. Depending on the chart settings, bar builder during high volatility news days or low liquidity days or on rollover days become all jaggered so keep this all into consideration. Anyways, good chat on sharing our unique experiences. I just wish more experienced SC users could also share their experiences on such “gotchas” and pitfalls to look for and avoid. |