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Nicolellis Range Bars


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Nicolellis Range Bars

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  #1 (permalink)
 JamTheTrader 
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Does anyone know of a true range bar for ninja 6.5 and 7.0 that is not just a modified momentum bar? (Yes they are close but not exactly the same)

Range Bars The example stated are for illustrative purpose only, and should not be viewed as advice or guarantee of performance.
Nicolellis Range Bars were conceived in 1995 by a Brazilian broker and trader - Vicente M. Nicolellis Jr.
During 13 years running a trading desk in Sao Paulo, where local markets tend to be volatile, he wrestled with the problem of how to handle this volatility and its variability. Finally he concluded that the most promising approach would be to eliminate time from the equation, and just concentrate on price.
After all it is price that you trade (rather than time, unless it is an options market).
Essentially this reverts to the early days of Technical Analysis, and the use of Point an Figure Charts which just record price changes.
By using a constant range, ex. 10, and opening a new bar once that range is covered, one can also apply modern concepts of indicators, which are bar based.
In 1996 the concept was computerized, which meant that many more markets could be studied.
Experience in the last 8 years has shown that Nicolellis Range Bars are particularly good at focusing on and clarifying movement.
The way in which a long meandering, horizontal "congestion" is condensed into a bar or two, concentrates attention on the essential underlying price movement while eliminating unnecessary "clutter" and "noise".
This also makes the use of Trendlines easier.
The range bars just look price, the bar does not close at a specific time but closes when a range is complete, then a new bar opens.
If you have a market that moves from 1 to 9, then 9 to 1, then 1 to 9 during 2 days, if you create a range bar chart of $10 you will only have a bar that goes from 1 to 9 during these 2 days and this bars is not closed. If the market moves to 10 then the bar closes and a new bar opens with open price at 10. This new bar now must have $10 range to close. Letís say the market goes back to 6 and then up to 17, the last range bar closes at 16 (making a range bar from 6 to 16) a new bar opens with open price at 16 and this bars price is now 17. This new bar has now a range of $1 (16 to 17) and will wait until a complete $10 range to close.
This is interesting in a market in congestion; you can have days with no new bar opening, the next picture shows IBM in a 78 minute chart and in a $2.50 range bar chart.

Thanks in advance,
JamTheTrader

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 cclsys 
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Jam, I would like to be sure I understand your query in terms of the bars I am aware that currently exist:

The default range bar waits for a close above the range so it does not form as soon as the range is complete.

As far as I understand it, Range-Alt is the same this way.

There is a NoGap Range bar but I believe it too waits for a higher/lower close but does not display it as such rather plots the open price as being the same as the previous close even though this was not the case. If I am wrong in this, then perhaps the RangeNoGap type is already doing what you are defining above.

Now it is quite possible that I have misunderstood one or all of these bar formation methods. If I have not, it sounds like you are asking for something that doesn't exist yet but could/should. Perhaps someone else with better coding understanding could chime in to clarify what we already have in range bar options and how Jam's suggestion differs or not from them.

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 JamTheTrader 
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cclsys,
The range bars in ninja are actually a momentum bar in Tradestation, where as the range completes then 1 tick above or below the range the next bar is printed. That is called a momentum bar in TS and Ensign, although I believe Ensign uses that for a range bar as well. The problem is the gap, and even back filling the gap does not give the real range bar. according to the article, a 10 tick range bar should start a new bar at 10 ticks not 11 ticks.

Bottom line is that I am used to it in tTradestation and trade with a 5 tick RB, and I have to use a 4 tick gap or no gap RB in NinjaTrader to come close.

If I am not 100% correct on all assumptions I will apologize ahead, but, their is a significant difference just visually regardless if you use no gap or standard RB when compared to NinjaTrader or Fibonacci Trader (love the Fib Trader platform)

Jam

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 cclsys 
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Jam, I am not sure I understand all the coding nuances between the various NT RB options but I must say I get the feeling that your extract definition from Nicollelis is currently not available and I would like to see it myself. It makes sense. It is codeable (though not by me). Hopefully someone here or elsewhere will put it together. Maybe Roonius will get inspired (hint hint!)?

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 JamTheTrader 
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cclsys,
I was planning on paying my programmer to program in NT 7, I will post for every one when it is done. I need it for my room anyway. Ii will be in Jan.

The NoGapRB by RJay did not work on 7.0 for me

Jam

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 RJay 
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cclsys View Post
Jam, I would like to be sure I understand your query in terms of the bars I am aware that currently exist:

The default range bar waits for a close above the range so it does not form as soon as the range is complete.

As far as I understand it, Range-Alt is the same this way.

There is a NoGap Range bar but I believe it too waits for a higher/lower close but does not display it as such rather plots the open price as being the same as the previous close even though this was not the case. If I am wrong in this, then perhaps the RangeNoGap type is already doing what you are defining above.

Now it is quite possible that I have misunderstood one or all of these bar formation methods. If I have not, it sounds like you are asking for something that doesn't exist yet but could/should. Perhaps someone else with better coding understanding could chime in to clarify what we already have in range bar options and how Jam's suggestion differs or not from them.


cclsys,

You are absolutely correct about the bar formations.

Also, I would love to start converting my stuff to NT 7.0 But NT won't let me have the Beta Version.

RJay

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 JamTheTrader 
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RJay,
I think I can get you a beta version, do you want me to check in the morning?


Jam

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 Zoethecus 
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RJay View Post
cclsys,

You are absolutely correct about the bar formations.

Also, I would love to start converting my stuff to NT 7.0 But NT won't let me have the Beta Version.

RJay

Really?

Doesn't NT know you're a Market Wizard?

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 RJay 
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JamTheTrader View Post
RJay,
I think I can get you a beta version, do you want me to check in the morning?


Jam

Jam,

I'm all set.

Thanks,

RJay

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 cclsys 
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Well, I just hope you or whomever makes it available for 6.5 as well! I am not using Range Bars anymore right now, but I remember reading this Nicolelli description a while back and finding I like the logic better even though his method does not compact the visual presentation so much because a new bar will start to form as soon as the range is complete. Personally I like to see how long a market has stayed stuck somewhere. That said, current Range Bar formulations are still quite helpful in emphasising directional moves. If a 'RangeN' came out, I would want to take a long, hard look at it.

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 cclsys 
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I just threw up a SBS Renko and it seems to me that the nicolleli Range Bar would be a SBS Range Bar since the SBSRenko form without penetration of range, just as soon as range is complete, although in this case there is an extra condition to create a reversal bar with twice the range of the basic trend/direction bar.

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 Piston36 
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JamTheTrader View Post
cclsys,
The range bars in ninja are actually a momentum bar in Tradestation, where as the range completes then 1 tick above or below the range the next bar is printed. That is called a momentum bar in TS and Ensign, although I believe Ensign uses that for a range bar as well. The problem is the gap, and even back filling the gap does not give the real range bar. according to the article, a 10 tick range bar should start a new bar at 10 ticks not 11 ticks.

Bottom line is that I am used to it in tTradestation and trade with a 5 tick RB, and I have to use a 4 tick gap or no gap RB in NinjaTrader to come close.

If I am not 100% correct on all assumptions I will apologize ahead, but, their is a significant difference just visually regardless if you use no gap or standard RB when compared to NinjaTrader or Fibonacci Trader (love the Fib Trader platform)

Jam

Jam can you tell me what setting I would use within Tradestation's momentum bars to duplicate Ninja's 3 range bar chart setting?
Thanks

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 JamTheTrader 
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Piston36 View Post
Jam can you tell me what setting I would use within Tradestation's momentum bars to duplicate Ninja's 3 range bar chart setting?
Thanks

Piston,

I am not using Tradestation anymore: however, I would try a 4 Range bar in TS. Remember that they will never be perfect, but you really do not need then to be. Fibonacci Trader still has the best, I just wish they would give us a platform to trade with

JAM

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