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Everybody knopws that while backtesting orders are executed on next bar's open (the bar bar following signal bar).
WickedRenko (good job, Aslan!) bars open price matches bricks "open" which is not true in real life. It is ok for visual and discretionary trading, but for during backtesting it will fail you on reversals, since brick open is actually 1 brick away from actual opening.
SbSRenko bar open always matches the previous close (which is also not correct - in thin markets it might be far from actual opening price and in liquid markets 1-2 ticks away)
This is exact reason why I abandoned MedianRenko - opening price is not real.
Bottom line: NONE of RENKO can by trusted for backtesting. SbS should give you closer results.
P.S. I am not advocating SbS - only trying to outline bar building logic and impact on backtesting.
Can you help answer these questions from other members on NexusFi?
Of the three chart types, I like WickedRenko. Roonius also has a valid point. If executing a trade on bar open, you need to execute the trade referencing Close[0]. I would never reference Open[0], on any chart type.
I have not studied the implementations of these bars in detail. It would be nice to have an indicator which exports the following:
(1) Price threshold where a new brick in the direction of the previous bar will be formed
(2) Price threshold where a new brick in the reverse direction will be formed
These could serve as levels at which your stop orders could potentially sit. So the setup would use a 1 tick range bar as the sampling bar for order executions, and the renko (and others) for trade logic decisions.
This of course assumes that the Renko bars can co-exist with other type of bars in a strategy in the context of back-testing.
I use renko charts to trade on Market Delta and can't imagine how I ever traded without them. I can spot daily, live support and resistance a mile away.
I switch between between various settings to see different views. On Ym- I use 4-6-8 20 "renkos" I tend to use fast ES data 125 tick volume delta data...It's a machine
If you're trading at very small tick increments the inaccuracy of the Renko bar is reduced especially on very liquid markets. So if you designate Close[0] the margin of error become negligible IMO.
