True No Gap Range Bars?

January 2nd, 2021, 02:04 PM

jacob2i

"The definition of a 4 tick range bar is just that."

There are other definitions. What Ninjatrader calls "Range" bars are called Kase charts in Tradestation - that is you must have a tick ABOVE the size of the range of the last bar if the last bar was an up bar or a tick below on a down bar.

Tradestation's range bars started plotting a new bar as soon as the current bar reached the required height. So if you have an 8 tick range bar and your bar reaches 8 ticks in height, the next tick - no matter what it's value - will plot as a new bar. This is a far superior range bar in my opinion. I'm kind of bummed that NT doesn't provide a true range bar.

Regardless of what you call it, it should provide both.

And it has nothing whatsoever to do with gaps - that's irrelevent.

I absolutely agree, and I'm pretty sure that's the type of bar @Techfan1128 (and me) are looking for!

Having a 5 tick range bar have to move 6 ticks to plot an up bar skews the backtest results, but one way to account for that gap is to add it as part of your SLIPPAGE. With the current NoGapRange bars you need to add an extra tick of slippage each way. While this could invalidate many strategies, thats reality I guess.

Realistically however, you need to have 2 ticks of slippage per order (4 ticks round trip) with this bartype since you have to pay the existing one tick spread on most futures markets in RTH.

I realize its been a while since this thread was active, but do let us know if you find something! Will do the same from my end

True No Gap Range Bars?

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True No Gap Range Bars?