renko backtests are a total waste of time because of the current bar.
visual or otherwise - you just dont get the same results each time.
ill put everything on a wager that you dont get 100%.
this is nothing against steve...
I have recently had a very peculiar experience related to this and thought I will add it here for information.
I was testing an EA that used Constant Range Bars (using a commercial script).
Now I never rely on mt4 strategy tester back tests if an EA places market or limit orders as this would be different under live market conditions.
Since this particular EA placed only buy and sell stops at several pips gap, I thought the strategy tester should yield some reliable stats.
I ran the backtests and got excellent results - v excited to try it out live using micro lots on a live account.
Initially, it ran a winning streak, but eventually started loosing, which was totally against what backtests had shown.
I was mystified, to say the least. I was seeing the CRB candles form in front of my eyes during back test visual mode - and except for the odd loosing positions, the ea mostly came out the winner. It seemed as if somehow by some strange anomally the live trading candles were not forming as these were in the strategy tester.
After one of my loosing nights, (NY session) I decided to play back exactly the same data of the previous (loosing) night to try and see what the hell was going on. I took the same 1M file and put it in the offline folder to run the strategy tester. Guess what? All winners!! Where as in real trading, it had all been losses. Total of six trades, no room for coincidence here.
Suspecting an anomaly with the range bar script, I contacted the vendor of the script. He mentioned something that seemed to make sense:
Now you all know, when we test CRB based EAs in strategy tester we have to create an offline file with the range we want but name as m5 or m15 etc so strategy tester can access this... - the script vendor told me to save the offline crb file as a higher timeframe (such as h4 or daily). The reason he said was that mt4 used some kind of averaging of ticks within each candle (apparently hard coded), and that the strategy tester used these averages to rebuild candles - these averages were based on the standard mt4 timeframes, so - the larger the time frame, the more ticks would be recorded, etc.
So instead of running the strategy tester on 50 range bars saved as m5 offline chart, I did this as a 50 range bar saved as daily time frame, hoping that this would give me the real life scenario with ALL of the ticks as recorded in live data.
Result => more ticks in each candle, but still the same scenario - all winners in the back test compared with all loosers for the same period live trading.
So I called up mt4 support to try and find an answer. They cooly told me they did not support end clients, and that I should route my support request through my broker.
I have since done that (about 4 days back) with all supporting screen dumps etc. - and awaiting an explanation.
This is really a weird one. Facts:
1. We know that mt4 records live ticks (all of them) in m1 timeframe.
2. We construct crb candles from this m1 timeframe from a live trading account.
3. The candles build up differently during live trading vs playback through strategy tester even though the OHLC of the crb candles are exactly the same - so they look the same after the playback, but have been built (recorded) differently (i.e. the sequence of the ticks is misrepresented).
What do you all think? Deliberate conspiracy by metaquotes by having mt4 behave in such a way so as to lull us all into a false sense of security by having strategy tester present a rosy picture while the real life deal is not so sweet? Or perhaps, the brokers throwing in extra ticks into each bar which do not get recorded into the m1 timeframe some how?
Anyone here know inner workings of mt4 tick recording to throw further light on this?
btw: I have started a thread for this so we can get some insight into this behavior from experienced mt4 users