Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
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?
Can you help answer these questions from other members on NexusFi?
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:
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
