|
PureBytes Links
Trading Reference Links
|
Hello,
Your "disappointment" is probably due to the fact that you did not read the read me
that explains why splitting makes no sense and is fundamentally flawed idea:
Range Bars are price-driven bars, with each bar having a required minimum high-low range. Source data are consolidated into one bar
until the range requirement is reached, then a new bar is started. It works best with tick data that have only one price per data
point. You can use it with other base time intervals as well, but please note that if single source bar H-L range exceedes desired
range, the output will be single bar that has range higher than requested. In other words source bars exceeding desired range won't
be splitted into several range bars. For example if you use 1 minute bars and there is $3 dollar movement and you have selected $1
range bars it won't be splitted into 3 bars. Instead you will get single bar with original $3 range.This is so because AB has no
idea what happened *inside* the bar. Prices could move first downwards and later upwards or opposite or zigzaging several times or
making any other pattern inside bar and this information is not available from source bar that only has OHLC prices. Note that range
bar compression is not standarised. Some other softwares may attempt to split to several artificial bars when range is exceeded, but
we belive it is wrong since it is based on assumptions about price action inside bar that may and usually are wrong.
Softwares that make assumptions like described above just make WRONG assumptions most of the time.
If you are trading based on WRONG assumptions you are going to lose your money. If you want that - go ahead and use other software
that is fundamentally flawed, but I am not going to implement things that make absolutely no sense, and may lead to financial loses
due to flawed assumptions.
Having said that - the only way to obtain correct range bars for any interval and any range is to use TICK base interval
that is the truth that is mabe hard to swallow but it *IS* the truth.
If you think it over you will find that I am right. Just imagine you have $3 dollar from $53 to $56 movement in 1 minute bar and you
want to "split" it in $1 range bars.
You say let's split it to 3 bars: $53-54, $54 - 55, 55-56. OK, looks nice but.... why don't we want to split it to 5 bars
$53-54, 54-53, 53-54, 54-55, 55-56
or to ANY number of bars. Who knows what happened inside bar when you don't have tick data? How can you assume that prices
monotonically
were growing or falling ? Maybe they were zig-zaging? Maybe several times? In which direction? Who knows?
What you are asking for is creating completely ARTIFICIAL data that have ZERO connection with reality.
DO you want to trade such thing ? I don't. If you want to trade without connection to reality - it is your decision, but I won't
put flaws into the software intentionally.
BTW: Even fibonacci trader that someone has been trumpetting about in FC says on their pages
http://www.fibonaccitrader.com/HELP40/Range%20Bar/default.htm that:
"The first way uses the 1 minute bar data to create the range bar, then these range bars have some limitations.[ ...] As you close
the chart and reopen it, or as the chart is rebuilt, the information from the same 1 minute bar is only a market that had a low of 1
and a high of 3, with close at 3. The program will look to this 1 minute bar and will recreate just 2 bars, one bar from 1 to 2 and
one bar from 2 to 3. This chart will then be different of what actually happen in real time.[...] Then we recommend that you have
the ranges values bigger than the oscillation of the 1 minute bars."
So they know their software is based on flawed idea! They are making (wrong) assumptions on intra-bar market behaviour. And they
finally admit that using TICK base time interval is the only way to go:
"Small ranges will be OK as the chart will use tick information."
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "c776162" <jvissari@xxxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, July 22, 2007 1:57 AM
Subject: [amibroker] AmiBroker 4.97.0 BETA released
> Thank you Thomas for the great work, however I must say I am a little
> dissapointed with the Range Bars not being split if the range is larger
> that the set range as this defeats some of their purpose .
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
> Yahoo! Groups Links
>
>
>
>
>
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|