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The recent discussions about nature hour bars have been interesting. To
generate further discussion on this important topic, here are some of my
ideas about bar definitions.
I am most impressed with the information provided by n-tick bars as opposed
to x-minute bars. Tick bars are naturally adaptive, since they are based on
trading activity instead of elapsed time. I think patterns are much more
discernable using tick bars than minute bars also.
The best of this is when you look at overnight data. For example, the BMI
SP0M symbol combines the Globex and RTH S&P data. Looking at this symbol
with x-minute bars is chaotic during the sparsely traded over night time.
But if you look at it with n-tick bars, the same patterns you see during the
day are visible in overnight trading.
I like looking at this symbol, even though I don't trade over night, because
I don't have huge gaps at the start of the day, and my indicators don't
suffer through epileptic gyrations in the opening of regular trading hours.
Gaps disappear, too. Gaps, IMO, are a false phenomenon since the price
didn't suddenly change from the close of yesterday to the open of today. The
price changed gradually and consistently during the overnight trading.
Plotting n-tick bars lets you see the patterns that evolved overnight and
the patterns that are currently active as the morning trading begins.
And if what Dennis implies in his comments below are true (that there is
more activity at the hours and half hours), n-tick bars gives you adaptively
more information (more bars) during those periods of high activity, right
when you need it.
With markets always in a state of change, the more you use adaptive
techniques, the better off you are. Thus, IMO, adaptive MAs (exponential,
Vidya, Kaufman, T3) are better than simple MAs. ATR-based (volatility-based)
profit targets, stops, entries, and channels are better than fixed values.
Percentage-based values are better than fixed number values. And n-tick bars
are better than x-minute bars.
N-tick bars is one of the best features of TS. And the SP symbol in BMI is
one of the best features of BMI's data feed.
Neil
| -----Original Message-----
| From: Dennis Holverstott [mailto:dennis@xxxxxxxxxx]
| Sent: Friday, March 10, 2000 6:05 PM
| To: Omega List
| Subject: Re: FW: Natural hour bars
|
|
| I've had it go both ways..... better or worse results trading the same
| time as everyone else. I'd guess it depends on whether your system is
| using the same logic as everyone else or using something different. One
| thing for sure, there will be a lot of trades happening on the hourly
| bars, especially the normal 9:30, 10:30, etc. for the stock market.
| Systems that run on 1, 2, 3, 4, 5, 6, 10, 12, 15, 20, 30 and 60 minute
| bars will all be triggering then.
|
| Mark Jurik wrote:
| > On a chart, the overall net profit of each run was plotted with
| phasing along
| > the x-axis. The curve was smooth and net profit plummetted
| like a notch
| > filter response curve at precisely when the bars were 9:00,
| 10:00. etc. You
| > get superior performance when the bars are phased out by 20
| minutes or so,
| > that is, when the bars are 9:20, 10:20, etc.
| >
| > So, what would be the reason? I like to think that if you
| based your trades
| > on the same signals as everyone else, then you have to share
| the potential
| > profits with a very large crowd. Does that make sense? Any
| other viewpoints?
|
| --
| Dennis
|
|