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Range Bars - Version 1.90.416.963 Beta
Posted: Feb 25 2006
by joecgoodman
1. Good: The new range bars are much improved, in my opinion, because they range from high to low rather than open to close.
2. Bad: Once the bar's high - low = X Points the bar paints and another one begins. The negative effect of this is that you get a succession of bars that all have the same high and low, which puts noise in your indicators. As long as the stock, emini or whatever is trading within the defined range, there is no need to start a new bar. A new bar should begin when a trade occurs outside the defined range. The attached picture should make this easier to visualize.
3. Ugly: You'll also notice in the attached picture that there is a fluke bar every so often that is much larger than the defined range.
Posted: Feb 27 2006
by Alex Kramer
Thank you for the input; it seemed an interesting idea to start a new bar only when there is a movement outside the range. At the same time it seems tricky - in a situation where there’s little market movement, the plot may end up containing much too few bars. Is that your own conception, or does anybody else use it – could you send us a link to an example of such implementation or quote a source?
The extra-sized fluke bars you mention are ugly but they spring directly from the incoming data – they display real large-scale price movements and so override the preset range. I've tried and saw huge bars in incoming price data and in the range chart, matching by time.
Posted: Feb 27 2006
by joecgoodman
The extra-sized fluke bars you mention are ugly but they spring directly from the incoming data – they display real large-scale price movements and so override the preset range. I've tried and saw huge bars in incoming price data and in the range chart, matching by time.
Alex, I don't understand your explanation for the extra-sized bars. The incoming data is just a stream of tick data, not a series of bars, right? You said you "saw huge bars in incoming price data". These bad bars ruin trade signals and thus need to be fixed if at all possible.
Thanks,
Joe
Posted: Feb 27 2006
by Alex Kramer
>These bad bars ruin trade signals and thus need to be fixed if at all possible.
To aid in such situations, we intend to implement data filtering, so the user can customize the filtering settings in any way desired, to remove ticks with values or ranges over a certain level etc.
It is just not part of basic plot charting functionality to discard incoming data.
Posted: Feb 27 2006
by tosk
I believe what Alex is saying is that there is a gap in the data meaning there would not be a tick at the close of the over-sized "true range bar" if cut down. This would then create a phantom tick at the open of the next bar. If given what you want, the chart may be pretty but it would not be tradable. You would have to cross reference another chart to see if there was actually a tick at that price that could be traded as you can't trade an "air gap". What value is a chart that doesn't show what can be traded? What problems will this cause to people trying to optimize?
Tom