Trading Using Range Bars (TS)

Discussion in 'Strategy Building' started by TraderZz, Jan 24, 2012.

  1. Hi everyone,

    I have been working some time to improve a method I trade. It seems it benefits from the use of range bars adjusted to 1/2 the ATR.

    I read through the definition of range bars to make sure I wasn't peeking at any data. I am using 5 minute intervals and set my range to well outside the bar length on this timeframe. I also understand that gaps print as multiple bars and do not trade on these bars.

    Are there any known bugs on TS range bars that would cause oscilations to incorrectly print given what I am describing? For example, I am backtesting by hand and if i set a stop somewhere, on the range charts it does not show me being tagged, but in realtime data I might be?

    It does not appear to be the case, but I would need to program the system to test it on larger data to verify. (I am not a programmer but I am sure could figure it out)

    FYI, I trade mostly on dailys which is being transformed in the range charts to anywhere from 60 minutes to a couple of days.

    Let me know if I can clarify at all. Hopefully someone has done some trading on these bars before.
     
  2. Bump.
     
  3. How are you using the ATR to help? Is it a 'if ATR < x, then enter'?
     
  4. nkhoi

    nkhoi

    check out Kase Bar, it is range bar based on ATR.