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Optimizing Range Bar Settings?


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Optimizing Range Bar Settings?

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  #1 (permalink)
Omaha, NE
 
 
Posts: 46 since Nov 2009
Thanks: 15 given, 25 received

So i'm going to be trading the CME forex futures using range bars for daytrading purposes after a long career with tick charts. However, i'm wondering if anyone has run any kind of statistical analysis on normal ranges in different currency pairs to decide what the optimal range bar settings for individual markets might be?

For example, the 6B may easily chop a 6 tick range without going anywhere, and by contrast a lesser moving market like the 6S may only chop around a 4 tick range and a 6 tick movement could be a significant event signaling a trending move... (I'm using a 5 pip range bar setting for the time being).

Has anyone done any work on this or have any ideas? Obviously I can eyeball it and use simple logic but it just seems like a topic that someone might have touched on at some point (or someone like TRO had done stats on because he uses stats for everything he does).

Thanks for any input or ideas you all may have.

Cheers!

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  #3 (permalink)
United States of America
 
Experience: Advanced
Platform: NT
 
Posts: 1,149 since Aug 2009



daedalus View Post
So i'm going to be trading the CME forex futures using range bars for daytrading purposes after a long career with tick charts.

Why the change especially since you admit not testing?

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  #4 (permalink)
Omaha, NE
 
 
Posts: 46 since Nov 2009
Thanks: 15 given, 25 received

No i've been "testing" them for the past two weeks in sim before I jump back to live and found what works for me. I changed it up because honestly I had never looked at them and they made my previous trading method ineffective because it dealt with closes above/below fib layers and range bars just weren't conducive to getting in on trades.

I'm not trading with that method anymore, and the range charts really seem to gel very nicely with what i'm doing these days.

However, it just seemed like someone (Richard from EOT, or TRO, or futures.io (formerly BMT) himself) might have done some analysis on optimizing the time frames they trade on different markets when it comes to range charts. Just was curious!

Cheers!

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