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Range Bars
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Range Bars

  #1 (permalink)
Trading Apprentice
New York, NY
 
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: Currency Futures, ES, CL
 
Posts: 5 since Feb 2012
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Range Bars

Is there a formula, or rule of thumb, used to figure out what size range bars to use? Something based on ATR or along those lines? If, for example, I was looking to find the appropriate range bar size for scalping, what's the best way to determine the bar size for any given product. Is it simply trial and error or personal preference?

Thanks in advance.

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  #2 (permalink)
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  #3 (permalink)
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cgiann View Post
Is there a formula, or rule of thumb, used to figure out what size range bars to use? Something based on ATR or along those lines? If, for example, I was looking to find the appropriate range bar size for scalping, what's the best way to determine the bar size for any given product. Is it simply trial and error or personal preference?

Thanks in advance.

You may want to think along the lines as best size per instrument. I'm not sure one size fits all for the entire commodity market is appropriate.

I'm just a simple man trading a simple plan.

My daddy always said, "Every day above ground is a good day!"
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  #4 (permalink)
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cgiann View Post
Is there a formula, or rule of thumb, used to figure out what size range bars to use? Something based on ATR or along those lines? If, for example, I was looking to find the appropriate range bar size for scalping, what's the best way to determine the bar size for any given product. Is it simply trial and error or personal preference?

Thanks in advance.

Hi CG. I love range bars and my favourite is the No_Gap range bars you can download from the download section. Yes, it is trial and error. You need to play around with it and see which size best fit your trading personality. I use 10 ticks range bars for both Oil and gold as these instruments have large daily swings ranges. I won't use any less as I would get too much noise. If you are trading E-mini ES, then 4 ticks range may be better.

Regards,

Dudley

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  #5 (permalink)
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Thanks TMFT and mrmuggins.

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  #6 (permalink)
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Momentum Bars

cgiann,

just showed up today, but thought i'd throw in my 2 cents.
there is more than one definition out there, so just to clarify,
what i use are more appropriately called Momentum Bars,
or Mbars

a good starting point is 10% of the Average Daily Range (10)

this fellow goes about it in a different way:
<<< sorry, couldn't post the link to the YouTube video
because my "post count" is deficient . . . . . . . . . >>>

believe it or not, both these approaches will get one to the
same general area

from there some tweaking may be required based on the
style of trading. my style is scalping and my primary "tool"
is the ROC(2), so i want a setting that makes the ROC talk . . .

these settings work well with that approach:
ES --- 8 ticks
6E --- 12 ticks
ZB --- 5 ticks


safe travels

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  #7 (permalink)
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As a scalper, for me it depends on a couple of things. How many range bars are produced for a particular instrument in a typical trading day. This determines how many trade opportunities I will generally get on that instrument. A 6 range bar on the CL will give me about 20 trades a day, a 6 range bar on the ES will give me maybe 2 trades a day.

The size of my desired stop also comes into play, because with my trading approach, I enter on the close of a bar and put my stop behind that bar, so the bigger the bar, the larger my stop has to be, and since I also trade with a 2:1 risk/reward ratio, the further I need the market to move to reach my targets.

Also depends on which range bar size produces the best patterns for your method. For me on the CL between 4 and 6 range produces the cleanest and most consistent signals.

All of these require some experimentation and backtesting.

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Many thanks Sandy and monpere.

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  #9 (permalink)
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Scalp targets 4&6 Range CL


monpere View Post
As a scalper, for me it depends on a couple of things. How many range bars are produced for a particular instrument in a typical trading day. This determines how many trade opportunities I will generally get on that instrument. A 6 range bar on the CL will give me about 20 trades a day, a 6 range bar on the ES will give me maybe 2 trades a day.

The size of my desired stop also comes into play, because with my trading approach, I enter on the close of a bar and put my stop behind that bar, so the bigger the bar, the larger my stop has to be, and since I also trade with a 2:1 risk/reward ratio, the further I need the market to move to reach my targets.

Also depends on which range bar size produces the best patterns for your method. For me on the CL between 4 and 6 range produces the cleanest and most consistent signals.

All of these require some experimentation and backtesting.

As a scalper on CL using 4 and 6 range... do you have a pre-defined target?

trying to follow you on where you enter to calculate your 2:1 R/R


Last edited by Patrick S; May 2nd, 2012 at 08:20 AM. Reason: Not sure where you enter
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Patrick S View Post
As a scalper on CL using 4 and 6 range... do you have a pre-defined target?

trying to follow you on where you enter to calculate your 2:1 R/R

I enter at the close of a bar with a StopLimit order, my stop goes 1 tick behind the entry bar, and my target is 2 times that stop.

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