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Tomasz,
You have made some excellent points about the range bars. However, I
think you missed noting an even more important point as to why your
implementation is the correct one.
Take the situation of a bad data tick. In your implementation, the
bar will have the spike show up on it, but it will not produce
another bar. To some effect, it is filtering out the bad tick which
is a good thing. If however, you attempted to make artificial bars,
that bad tick would be converted into a lot of bars slowly ramping up
to the bad data point, then ramping back down to the real data. In
essence it would be amplifying the bad tick into a terrible situation
for indicators.
I am quite happy with the way you implemented range bars.
Dennis Brown
On Jul 22, 2007, at 11:11 AM, Tomasz Janeczko wrote:
> 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 .
>>
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