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Whats suddenly causing the big difference in bar count?


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Whats suddenly causing the big difference in bar count?

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  #1 (permalink)
 drunkcolonel 
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hi friends,

I've been a member of Big Mikes for around a decade and life and work keep getting in the way of me figuring out my charts. With the advent of the Micros, I decided that those were the safest way to learn futures trading without blowing all my hard earned money. I lean toward range and renko charts, and I've been struggling to accurately backtest MES.

I'm using sierracharts to backtest a manual discressionary trading method. I use ~24 hr intraday charts for MES, and mentally I look for setups between 9:30am to about 3:30pm. Interestingly, recently on my chart ---about the last month or so I'm getting a lot less bars than say a year ago at the same time, probably half or even less than half the number of bars. Essentially I downloaded a year of the MES instrument, configured the chart for continuous contract with auto volume rollover, and compared to a year ago the difference in bars is enough to "slow" the chart enough in recent weeks to make it a lot less usable on a daily basis.

If I decrease the chart range settings to "speed" things up a bit, I'm changing the chart and thus invalidating how I've been backtesting about a years worth of data. If I do decrease the range to get more bars on the chart for eyeballing setups, ---those same settings then make the chart impossible to trade for the previous months/year because everything moves too fast for human analysis and reaction.

Do I have some setting in sierra chart jacked up? Is MES a dying instrument? Or is this volume related? When I looked up the last two days of volume for MES it was about 80k for each of the last two days, whereas in months past ... volume was 500k+ sometimes 1M. Are there particular days in trading MES that are just down volume days and this behavior for the instrument should be expected?

I'm hoping I've just got something misconfigured in sierrachart, perhaps there is some rollover setting I need to doublecheck or something. Just scratching my head over here so any help is super appreciated.

Thanks!

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  #2 (permalink)
 ninjus 
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You're using bar types dependent on price movement as opposed to time or volume.

Volatility is down so the number of bars you'll get on a renko or range chart will be (in most cases) down.

Still seeing the same number of 5m bars though


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  #3 (permalink)
 matthew28 
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drunkcolonel View Post
Do I have some setting in sierra chart jacked up? Is MES a dying instrument? Or is this volume related? When I looked up the last two days of volume for MES it was about 80k for each of the last two days, whereas in months past ... volume was 500k+ sometimes 1M. Are there particular days in trading MES that are just down volume days and this behavior for the instrument should be expected?

I'm hoping I've just got something misconfigured in sierrachart, perhaps there is some rollover setting I need to doublecheck or something. Just scratching my head over here so any help is super appreciated.

Looking at the CME Settlements for Monday the June contract did 80K in volume, the September contract did 500k.
I have never used Sierra chart so don't know how it rolls over but the contract rolled at the end of last week and you must still be in June.

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 tr8er 
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Yep, as you can see in the table Matthew has posted, the volume was 500k (14th) and 540k (15th) and not 80k (this was the "old" contract).

Though, there is always enough volume in MES, for backtesting an instrument, I always use the big/original instrument, in this case the ES.

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 drunkcolonel 
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Yep. I'm using range / renko so I'm familiar if there is a low range it'll print less bars, thats why saturdays hardly print much, but it seemed it might be something else. I'm new to sierra chart so my thoughts were it was rollover related somehow (that is the same table i looked at the other day glad I got the sanity check) I'll continue to sift through sierra chart settings to see if i can find something. If someone happens to know where they hid a config in that software feel free to chime in.

Much thanks everyone.
Curt

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 drunkcolonel 
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Sorry to bother you folks again, but I thought I'd share with you what I'm seeing on my end.

When I first set up this chart I started dialing in the range setting so that there was generally a reasonable amount of time during the day session to analyze and react. The idea was to -on average- have a few minutes between bars, enough for me to put some thought into the trade before I pulled the trigger. This approach/chart seemed to work when I was looking at days like 1-29 for example. (see first pic) This is a 20 tick range chart, and gave me intraday tradable price action earlier in the year. The next picture is what that same chart looks like just these last few days. Hardly any bars to analyze intraday price action.

1-29



lastfewdays -few bars



The trick seems to be finding a range slow enough to analyze/trade yet "fast enough" to have bars printing intraday to see perhaps one or two setups. Too slow and you don't get enough price action intraday to spot a setup. Too fast and you're getting bars printing way too fast to react to and a lot of market noise. Why does this remind me of Golidlocks and the Three bears. lol.

Is it practical to dial in a range based chart in this way? I thought it would be possible to dial in a chart so that on average, this was possible. Not perfect, but "more or less" possible... Sure some overly slow range based days here and there, but I was hoping more often than not there would be a relatively-ish consistent number of human tradable bars intraday. For me it's a consistency issue. I like range bar price action, and I'd prefer not to hold trades overnight. But by the same token, too slow and I can't really trade that either. It just might be that this is just the way it is ---what I'm trying to rule out is me misconfiguring sierra.

sierra settings:








Alternatively, my thoughts were I might have something misconfigured in Sierra, and lack of volume was causing the big difference so i included screenshots of the chart settings. I was under the assumption if you have "continuous contract" enabled along with how sierra should rollover, that this would be handled automatically. But, I'm new to the platform so I'm not ruling out me missing a setting or something.

I would really appreciate a second pair of eyes on the MES charts and settings. That might help me triangulate a borked up setting or perhaps, in fact, ---my charts are correct ---and well... I'm gonna have to go back to the drawing board on some of my assumptions: so in summary,
1. whether i have some /contract/rollover/setting flubbed up or
2. if there can in fact be that much variation in bar count on the intraday charts on that 20 tick range chart


I appreciate your thoughts and the time you spend helping me through this journey.
Curt

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 matthew28 
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Looking at your screen shots you certainly looks like you have the right settings with the correct contract month selected and automatic rollover based on volume.
I am impressed by the settings available in Sierra charts, but unfortunately as I said I have no experience with that platform.
I'm really just replying to bump your thread back up the list for the beginning of the US session Hope you get a reply from somebody who can tell you what the problem is.

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 ninjus 
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Your settings are fine. I use SC.

I have a 20 range and 5 minute with daily shadow overlaid on both below.

You are comparing days with completely different ranges. You mention January 29th but look forward to February as the range compresses with far less 5 point range bars.

27th January we have a 140+ point range day compared to just over 40+ points on a good day right now.

End of January



Last few days



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 drunkcolonel 
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Thanks ninjus,

Nice charts! I like your color scheme. Yeah, I thought I had things right, but I'm brand new to sierra and well, it's taking some getting used to. I wasn't sure if I goofed a setting. I really appreciate the sanity check!

Thanks again ya'll.
Curt

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 cory 
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drunkcolonel View Post
Sorry to bother you folks again, but I thought I'd share with you what I'm seeing on my end.

... The next picture is what that same chart looks like just these last few days. Hardly any bars to analyze intraday price action.

..

2. if there can in fact be that much variation in bar count on the intraday charts on that 20 tick range chart


I appreciate your thoughts and the time you spend helping me through this journey.
Curt

if you add how many times it visited the same range then you will have an additional way to analyze it.


MES 09-21 (Point-O 20 Ticks) 6_18_2021

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