Anyone can advise the right value for Constant Range Charts? - Commodities Futures Trading | futures io social day trading
futures io futures trading


Anyone can advise the right value for Constant Range Charts?
Updated: Views / Replies:877 / 7
Created: by tanwh1 Attachments:1

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Anyone can advise the right value for Constant Range Charts?

  #1 (permalink)
Trading Apprentice
Singapore
 
Futures Experience: Beginner
Platform: MT4,metastock
Favorite Futures: futures, FX, gold,stock
 
Posts: 5 since May 2014
Thanks: 2 given, 0 received

Anyone can advise the right value for Constant Range Charts?

Hi,
I try to setup Constant Range Charts for the following commodities futures:
Soybeans
Soybean oil
Copper
Light Crude oil
Sugar#11
Corn

I goggle search, found the following appropriate values for the following products:
Eur/Usd - 15 pips, Gold - 15 Pips, Crude Oil - 20 Pips, Mini Dow Jones - 25 pips, E-mini - S&P 500 - 12 Pips.
May I know how these values are determined?

Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,601 received
Forum Reputation: Legendary


There is no optimal value for constant range charts. Such a value would depend on commissions, average slippage and your trading setups.

But there is a way to determine the bar size of a constant range chart as being equivalent to a minute chart. The key is adjusting bar size to average volatility during the regular session. As I am lazy, I use the range of the entire regular session and adjust it for the number of bars contained in that session.


Let us do this for crude oil:

For crude oil the regular session starts at 9:00 AM EST and ends at 2:30 PM EST. If you look at a 5-min chart, a session contains 66 bars (330 minutes divided by 5). Now I look up the average range of the regular session over the last 100 days. For CL this is currenty 108 ticks. I divide that number by the square root of 66 and I obtain 13 ticks. To find the equivalent of a 15 min chart, I need to divide 108 ticks by the square root of 22, which results in a range size of 23 ticks.


Now let us have a quick look at different instruments and calculate the range equivalent for a 5 minute chart:

CL: 108 ticks divided by sqrt(66) = 13 ticks / 0.13 points
GC: 113 ticks divided by sqrt(62) = 14 ticks / 1.4 points
ES: 65 ticks divided by sqrt(81) = 7 ticks / 1.75 points
YM: 130 ticks divided by sqrt(81) = 14 ticks / 14 points
NQ: 89 ticks divided by sqrt(81) = 10 ticks / 2.50 points
ZC: 32 ticks divided by sqrt(57) = 4 ticks / 1.00 points
ZS: 82 ticks divided by sqrt(57) = 11 ticks / 4.75 points
ZW: 56 ticks divided by sqrt(57) = 7 ticks / 1.75 points
6E: 49 pips divided by sqrt(80) = 5 pips
6J: 43 pips divided by sqrt(80) = 5 pips

In a similar way you can calculate the range equivalent of a 15 min chart. The results would then come closer to the values that you have cited above.

Reply With Quote
The following 11 users say Thank You to Fat Tails for this post:
 
  #4 (permalink)
Trading Apprentice
Singapore
 
Futures Experience: Beginner
Platform: MT4,metastock
Favorite Futures: futures, FX, gold,stock
 
Posts: 5 since May 2014
Thanks: 2 given, 0 received

Hi Fat Tails,
Thanks for your information, may I know how you determine the number of ticks for various futures?

Reply With Quote
 
  #5 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
Thanks: 29,353 given, 83,234 received


tanwh1 View Post
Hi Fat Tails,
Thanks for your information, may I know how you determine the number of ticks for various futures?

He described it in his post, the average range of the session.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #6 (permalink)
Trading Apprentice
Singapore
 
Futures Experience: Beginner
Platform: MT4,metastock
Favorite Futures: futures, FX, gold,stock
 
Posts: 5 since May 2014
Thanks: 2 given, 0 received

I see, thanks, that very informative piece of information !

Reply With Quote
 
  #7 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,601 received
Forum Reputation: Legendary


tanwh1 View Post
Hi Fat Tails,
Thanks for your information, may I know how you determine the number of ticks for various futures?


It is true, I have not been explaining this in detail.


The basic idea was to determine the average bar size of a 5-min bar during the regular session. I have excluded the night session, as I am not going to trade it. The result of this process will be a constant range chart that has about the same number of 5-min bars for the regular session but fewer bars during the night session than a regular 5-min chart.

Therefore I had to find an approximation for the average range of all 5-minute bars that printed during the regular sessions of the last 100 business days. You can also use 250 days to cover an entire year. As it is a bit tedious to calculate an average from all those bars, I have used a known relationship between time and volatility. Volatility is proportional to the square root of time. Therefore I can approximate the average 5-minute range by taking the average range of the entire regualar session and divide that average by the square root of the number of 5-min bars in that session.

Let us go through this again for ES. I apply the anaCurrentDayOHLV42 indicator to my chart and set the lookback period for the average daily range to 100. From the chart I can direclty read the value for the ADR, which is 16.00 points or 64 ticks. The regular session for ES lasts from 8:30 AM CT to 3:15 PM CT, which makes up for a duration of 6 hours 45 min. That means that the regular session has 81 5-min bars. I therefore need to divide the ADR by the square root of 81 to obtain the estimated average range size for a 5 min bar.

approx. range of a 5-min bar = 64 ticks / SQRT (81) = 7 ticks

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote
The following 7 users say Thank You to Fat Tails for this post:
 
  #8 (permalink)
Trading Apprentice
Singapore
 
Futures Experience: Beginner
Platform: MT4,metastock
Favorite Futures: futures, FX, gold,stock
 
Posts: 5 since May 2014
Thanks: 2 given, 0 received

Hi Fat Tails,
Thanks, that explain better.

Reply With Quote

Reply



futures io > > > > Anyone can advise the right value for Constant Range Charts?

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Tick Charts vs Range Charts vs Time Charts sketchbo Traders Hideout 3 March 25th, 2014 10:26 AM
Range Bar Charts don10 NinjaTrader 12 October 29th, 2010 01:36 AM
RANGE CHARTS joyginy Traders Hideout 36 October 9th, 2010 11:36 PM
range charts carlos The Elite Circle 1 October 12th, 2009 09:49 PM


All times are GMT -4. The time now is 12:58 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-14 in 0.11 seconds with 20 queries on phoenix via your IP 54.221.93.187