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Alpha bars
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Alpha bars

  #11 (permalink)
Banned: Piracy
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Fat Tails View Post
Send me a private message.

I`m limited in sending messages.May be you can pm me.

thx

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  #12 (permalink)
Banned: Piracy
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tst1 View Post
I`m limited in sending messages.May be you can pm me.

thx

I`m not able to respond to your pm either, Harry

here is my mail:

dmtr.blv AT gmail dot com

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  #13 (permalink)
Intermediate
Charleston, SC
 
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Auction Bars?


Hi Fat Tails,

I see you live not to far from Stuttgart in Berlin. I am starting to use your Thrust Bar indicator and I really like them. I wanted to ask you if there is any way I could get the Auction Bar indicator?

Thanks.

Cal



Fat Tails View Post
Alpha Bars? I use another paintbar study, which I call Auction Bars. It is a modified version of the the Thrust Bars, which I have posted, with slightly different color settings.


Paint Bar Study: Thrust Bars

A thrust bar is an upclosing (Close[0]> Open [0]) bar with a close above the high of the prior bar (Close[0]>High[1]) or a downclosing bar (Close[0]< Open [0]) with a close below the low of the prior bar (Close[0]<Low[1]).


Paint Bar Study: Auction Bars

Auction Bars is another paint bar study based on thrust bars with the following definitions:

Small Body Bars: Bars with a body smaller than 0.3 x average true range (ATR period 14)

Thrust Bars: Thrust Bars as defined above which are neither smaller body bars nor showing a reversal of price action (upthrusting bar must close in the upper half of their range, downthrusting bar in the lower half of their range)

Auction Bars: An auction bar is a thrust bar with some additional characteristics necessary to show that a shift in perceived value occured

- It must have minimum range of 0.7 x average true range (ATR period 14)
- If there is an active trading range defined by an expansion bar, the auction bar must close above the high or below the low of this trading range by a margin which depends on the width of the trading range and the tick size.

Reversal Bars: Bars with a range exceeding the average true range which either have an open and close in the upper third of their range (reversal up) or an open and close in the lower third of their range (reversal down). Additional criteria apply for the value of Close - Open.

This study is work-in-progress as I occasionally modify some of the conditions.

The chart below shows how I currently use them.

1) Auction Bars up (lime) producing an uphisft in value
2) Large Auction Bar down (orange-red) establishes a trading range for the day
3) Bar closes inside the range of the prior bar (gray)
4) Not a thrust bar, because it reverses, not a reversal bar, because its relative range is too small*) (gray)
5) Inside close bar (gray)
6) Small body bar (white)
7) Upthrusting bar (black), no auction bar as contained within the larger range
8) Reversal bar just below resistance (yellow)
9) Small body bar (white)
10) Upthrusting bar (black), no auction bar as contained within the larger range
11) 2 small body bars at resistance

*) can be debated, whether the range is too small, maybe should take a longer lookback period for the ATR

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


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  #14 (permalink)
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Fat Tails's Avatar
 
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cal1152 View Post
Hi Fat Tails,

I see you live not to far from Stuttgart in Berlin. I am starting to use your Thrust Bar indicator and I really like them. I wanted to ask you if there is any way I could get the Auction Bar indicator?

Thanks.

Cal

Will respond via private message. By the way, here are two charts of the revised AuctionBar Study showing ES 12-11 on Thursday and Friday last week. The first chart shows how the Auction Ranges are generated from wide ranging bars. The second chart uses the multi-timeframe version of the indicator, which calculates the identical ranges but plots them on any other chart, for example a 15-minute chart as shown or a tick, range or volume chart.

The ranges are important to locate buy and sell stops and frequently attract stop hunting expeditions. The indicator autodetects reversal bars plotted near the stop zones. The reversal bars are validated if the following bar takes out the high (reversal up) or the low (reversal down) of the preceding bar.

Combine this indicator with a trendfilter and the 2B concept of Victor Sperandeo and you have a valid approach to intraday trading.

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


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Last edited by Fat Tails; November 12th, 2011 at 12:35 PM.
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  #15 (permalink)
Futures' Virgin
Zürich, Switzerland
 
Futures Experience: Intermediate
Platform: Sierra Chart
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JimmyB 2011's Avatar
 
Posts: 73 since Mar 2014
Thanks: 52 given, 50 received

Cleaner Charts


Fat Tails View Post
Alpha Bars? I use another paintbar study, which I call Auction Bars. It is a modified version of the the Thrust Bars, which I have posted, with slightly different color settings.


Paint Bar Study: Thrust Bars

A thrust bar is an upclosing (Close[0]> Open [0]) bar with a close above the high of the prior bar (Close[0]>High[1]) or a downclosing bar (Close[0]< Open [0]) with a close below the low of the prior bar (Close[0]<Low[1]).


Paint Bar Study: Auction Bars

Auction Bars is another paint bar study based on thrust bars with the following definitions:

Small Body Bars: Bars with a body smaller than 0.3 x average true range (ATR period 14)

Thrust Bars: Thrust Bars as defined above which are neither smaller body bars nor showing a reversal of price action (upthrusting bar must close in the upper half of their range, downthrusting bar in the lower half of their range)

Auction Bars: An auction bar is a thrust bar with some additional characteristics necessary to show that a shift in perceived value occured

- It must have minimum range of 0.7 x average true range (ATR period 14)
- If there is an active trading range defined by an expansion bar, the auction bar must close above the high or below the low of this trading range by a margin which depends on the width of the trading range and the tick size.

Reversal Bars: Bars with a range exceeding the average true range which either have an open and close in the upper third of their range (reversal up) or an open and close in the lower third of their range (reversal down). Additional criteria apply for the value of Close - Open.

This study is work-in-progress as I occasionally modify some of the conditions.

The chart below shows how I currently use them.

1) Auction Bars up (lime) producing an uphisft in value
2) Large Auction Bar down (orange-red) establishes a trading range for the day
3) Bar closes inside the range of the prior bar (gray)
4) Not a thrust bar, because it reverses, not a reversal bar, because its relative range is too small*) (gray)
5) Inside close bar (gray)
6) Small body bar (white)
7) Upthrusting bar (black), no auction bar as contained within the larger range
8) Reversal bar just below resistance (yellow)
9) Small body bar (white)
10) Upthrusting bar (black), no auction bar as contained within the larger range
11) 2 small body bars at resistance

*) can be debated, whether the range is too small, maybe should take a longer lookback period for the ATR

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

Hi Fat Tails,

This looks really interesting. I'm migrating from the world of spot Forex and looking at trading Futures with tight momentum-based entries based on order flow/volume etc. With all the various 'stuff' available my charts potentially will look like spaghetti .. this is bad!

I like to have clean charts and these Auction Bars look great to show inherent sentiment within a bar. Do you have a download or link on this as I've searched and come up with nowt (I'm new to the site so i am sure they're somewhere!). Many thanks Jimmy

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  #16 (permalink)
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Jimmyb2011 View Post
Hi Fat Tails,

This looks really interesting. I'm migrating from the world of spot Forex and looking at trading Futures with tight momentum-based entries based on order flow/volume etc. With all the various 'stuff' available my charts potentially will look like spaghetti .. this is bad!

I like to have clean charts and these Auction Bars look great to show inherent sentiment within a bar. Do you have a download or link on this as I've searched and come up with nowt (I'm new to the site so i am sure they're somewhere!). Many thanks Jimmy

There is a free ThrustBars indicator in the download section which has some of the features:

https://futures.io/download/ninjatrader-7/indicators/740-download.html?view

The indicator shown on the chart is an old precursor to a commercial version.

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  #17 (permalink)
Futures' Virgin
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JimmyB 2011's Avatar
 
Posts: 73 since Mar 2014
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Thanks!


Fat Tails View Post
There is a free ThrustBars indicator in the download section which has some of the features:

https://futures.io/download/ninjatrader-7/indicators/740-download.html?view

The indicator shown on the chart is an old precursor to a commercial version.

Thanks Fat Tails, I'll download and evaluate ... When you say 'commercial version' I'm assuming it's more up-to-date/sophisticated and also paid for ... Is it available? If so where would I go to purchase it and get more details? Many thanks, Jimmy

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  #18 (permalink)
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Jimmyb2011 View Post
Thanks Fat Tails, I'll download and evaluate ... When you say 'commercial version' I'm assuming it's more up-to-date/sophisticated and also paid for ... Is it available? If so where would I go to purchase it and get more details? Many thanks, Jimmy

I'd suggest to PM @Fat Tails for this purpose...

"If you don't design your own life plan, chances are you'll fall into someone else's plan. And guess what they have planned for you? Not much." - Jim Rohn
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