Renko backtesting

ghcaplan
01 Jan 2023, 13:59

RE:

A number of years ago they announced it was on the roadmap. But they won't commit to a release date and it didn't even appear as an option on their recent feature survey.

Now they've completed the major upgrade to .Net 6 they will hopefully have more resources for new features. But there's no sign that Renko/Range/Tick backtesting is a priority.

So I wouldn't be holding my breath.

Personally I'm developing my own solution. I'm using cTrader as a tick-feed, market venue, optimiser and reporter, but generating my own bars, indicators and charts.

This is non-trivial, but does give me the opportunity to test a wider range of bars. The cTrader feed is limited to classic Renko without tails and a limited selection of Range bar sizes, which is too limiting for my own trading.

MaRCHeW
02 Jan 2023, 21:53

RE: RE:

Hi ghcaplan,

Thanks for the answer. Did you create your own backtester too?

Spotware team, could you answer my question too?

ghcaplan said:

A number of years ago they announced it was on the roadmap. But they won't commit to a release date and it didn't even appear as an option on their recent feature survey.

Now they've completed the major upgrade to .Net 6 they will hopefully have more resources for new features. But there's no sign that Renko/Range/Tick backtesting is a priority.

So I wouldn't be holding my breath.

Personally I'm developing my own solution. I'm using cTrader as a tick-feed, market venue, optimiser and reporter, but generating my own bars, indicators and charts.

This is non-trivial, but does give me the opportunity to test a wider range of bars. The cTrader feed is limited to classic Renko without tails and a limited selection of Range bar sizes, which is too limiting for my own trading.

 

 

 

 

 

 

scotpip
10 Jan 2023, 23:10 ( Updated at: 10 Jan 2023, 23:15 )

RE: RE: RE:

Hi

It's still in development, but nearly done.

For a developer, generating price bars from the runtime tickstream is trivial. 

If you want to speed things up by serialising completed bars and using them in your backtests you're in for a bigger project, because you'll have to simulate the cTrader exchange. cTrader itself will only know about the bar you specified in the bot instance, and will know nothing of your own bars.

The charting was fairly easy too. I strongly recommend the AnyChart javascript library, which is free for personal use. It is powerful performant and well documented - much the best of the bunch that I evaluated.

There is a feature to backtest against bars in CSV files, but here too they seem to have hard-coded for time-based aggregations.

Indicators are more of an issue. In my use-case accessing the cTrader indicators was more trouble than it's worth - especially as an API class I'd want to extend is sealed. I only use a couple of simple indicators so have built my own system. There are examples of indicator logic in C# and other languages all over github and on TradingView as well as here in the cTrader community if you need anything more exotic.

For me the main development effort has been elsewhere - for serious trading I'm having build a lot of functionality that's not available out of the box. The price-based bars have been a relatively minor part of the project.