Introduction
Lately, a
number of traders have started using Range Bars for their trading
systems rather than the standard candlestick charts. By
migrating their trading systems from the standard time based (1min, 5 min
etc..) candlestick charts to Range Bars, traders are looking to overcome the
losses they encounter during sideways markets.
The best part
is that it is easily possible to Display and Work with these Range Bars in Amibroker.
But ..What are Range Bars?
·
Range Bars are price-driven bars,
with each bar having a required minimum high-low range.
The data is consolidated into one bar until the range requirement is
reached, after which a new bar is started.
·
These Charts consider only the range of
price movement. They totally ignore the time at which the quote
came into the charts. So the time on the chart need not be evenly spaced
& depends upon whether a trend is in place or not.
·
The next candle will just not be
formed unless the price moves outside the range specified. When
the next candle does show up, it shows a possible trend in the
direction of the new candle, for that range.
·
When the markets are not
trending, you will see a lesser number of bars.
Whereas, when the markets are volatile or start trending, the number of bars,
will increase, for the same time period.
·
To a certain extent, this eradicates the problem of
trading whipsaws and losing money in sideward markets.
Range Bar Rules
Each range bar must:
·
have a high/low range that equals the specified range
·
open outside the high/low range of the previous bar
·
must close at either its high or its low
How do we see these Range Bars in Amibroker?
Amibroker fully
supports Range Bar charting and
the bar size is based on the Tick Size of
a given symbol. This allows defining symbol-specific tick sizes
individually. You can then display a chart which, for example, shows 10R
or 40R bars. 10R / 40R meaning bars using a range of 10-ticks / 40 ticks
for each symbol respectively.
To display range charts, you will need to follow the
following steps:-
·
Ensure that you are set up for a Base Time Interval of Tick in your
database setting.
Specify the Tick Size
·
Once Tick Size has
been defined, the custom range intervals need to be defined, to
display chosen range chart.
·
Go to Tools–>Preferences, Intraday tab. Here you can set different
range values as desired by you, say, 10, 40, 50, 200, 1500 etc…
·
Once done, you will need to then select the pre-defined interval from View->Intraday menu. Another easy way is
to use the Interval box
in the toolbar and just type in the desired bar size. For example, to select
the range bar of 10-ticks, one can type-in 10R in the toolbar.
Finally, it is worthnoting ….
… that for
best results, your database should use Tick as Base Time Interval. This
will make sure, then each trade is represented by an individual record in the
database and can be consistently compressed to range bars. Using
higher-interval data (such as 1-minute) may produce bars that are not perfect.
This is especially so if for a 1-minute bar, the high-low difference is
comparable with the selected range.