3-line break in strategy

[ssg10]

I found out if I used 3-line break chart in my strategy analyzer for my trend-following strategy, it generates 3x better profit factor than using candlestick.

But, the question is.... is it realistic to use 3-line break in strategy analyzer of strategy itself? What's the caveat?

[NinjaTrader_Brett]

Hello,

Thanks for the forum post.

Only thing to be aware of is how line break charts form in realtime vs historical. To get a line break chart that will look exactly like it would in live you would need to run it with a 1 tick input series to have the granularity needed to get a full line break chart.

-Brett

[ssg10]

What do you mean by 1-tick input series? Could you elaborate?

[NinjaTrader_Brett]

Sure, when you create the line break chart you specify what you want to build the chart from. You want to set the settings for Base period type and base period value.

Let me know if I can be of further assistance.

[ssg10]

Thanks Brett

I am still a bit confused.

If my strategy is tested with 'Base period type = minute' and 'Base period value = 2', then the chart will looks different from running it with type=tick and value=1

1-tick will generate longer chart and it may not what my strategy is supposed to run on, right?

Please clarify... thanks

[NinjaTrader_Austin]

ssg10, if you use 2 minute series to build the three line break bars, the TLB bars would only be built using the closes of the 2 minute series. Brett is saying if you want the most accurate TLB bars, you have to use a 1 tick series because then every tick would be used to build the bars instead of a "tick" every two minutes.

[ssg10]

Thanks for the great support!

I played with the settings and tried to understand how the 3-linebreak is constructed -- now I understood that 3LB is probably not very realistic for strategy dev.

The 3LB 'candle' won't finalize and be formed until it takes out the past 'value' bars' high or low. The current candle can drop until X-points without candle being formed (unless it takes out the past 'value' bars). This causes problems with my fixed stop getting stopped-out many times during simulation on tick-replay. It didn't get stopped out in strategy analyzer, but it got a lot of stop-outs in real tick-replay playback.

[babouin77]

ssg10 do you have a code that you can share? im having hard time coding a 3 line break and would help if I have an example in front of me.