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Dynamic Range Bars

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MisterH 2014.02.03 02:40 


I did a bit of research this weekend on variations on constant range bars. Google it if you don't know what it is. There's a nice script from MQLservice to do this. It's a commercial script so I can't post it but there's a number of variations non-constant range bars; mostly for Ninjascript though:

Has anyone done any work on this topic? The CRB script from MQLservice is not exactly easily understandable for hobbyist programmers.. I have created a relatively effective adaptive digital filter that gives nice signals on smooth data, but I need to make the input data more "harmonic", as in fewer large bars, more smooth price action, more "ebb and flow" so to speak, fewer sudden bursts of directional movement against the current trend.

What do you think about this? Have you done any work in this topic to transform tick data into the most harmonic shape? I would assume that it requires adjusting to the current volatility, as in put an ATR(3) or something similar on a short time frame, and based on this, you adjust the size of your range bar. Right?

Fernando Carreiro
Fernando Carreiro 2014.02.03 09:27  


I believe there is something on this site about Constant Range Bars, entitled "Synthetic Bars" ...

Maybe it can be of some help.


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