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Interesting , thanks . Is this bar type only available for tradestation ? ATR is a logical approach to bar range sizing and this would be worth looking into further . Maybe we can get someone to develop these bars for ninja .
Yeah, would be interesting. I've never created a custom bar type before but I know it can be done. And the single parameter for the bar type would be the ATR lookback period. So if you, say, had a 200 KaseBar chart, it's using a median ATR over 200 time bars, but over what minute time frame? 5min, 15min, 60min? You'd need a 2nd parameter to determine the correct range bar size. Maybe you can keep the lookback period constant (100, 200, what?) and the parameter would be what minute bar size you want to computer ATR over.
She uses the ATR to pick a target range. The range is not auto-calculated on the fly, at least in Tradestation.
In TS, you specify a single parm called the "target range". You also specify whether the bar is built from ticks or 1-min bars.
When using tick bars, this effectively becomes the same as range bars, because each bar will be the target range except for gap cases perhaps. When using minute bars, most bars will be the target range size, except for when you have a fast move within a minute bar that exceeds the target range, in which case you will get a larger bar.
When I compare range and Kase bars in TS, they are very close to each other.
Given the above, you should be able to cobble together a Kase bar type for Ninja using the Range bar type as a template.
I don't understand/see the benefit of Kase vs Range bars.
Now, if you did dynamically figure out the ATR, that may be more interesting.
The following user says Thank You to aslan for this post:
"I don't understand/see the benefit of Kase vs Range bars."
Well, since my mom doesn't get onto forums, I will explain the difference between the two.
First off, the bars are equal true range which counts any gaps between the previous bar’s close and the current high or low into the bar’s range – as opposed to simple range bars, which only account for the high-low range and leave out any gaps. Secondly, Kase Bars use only real data to form bars. Thus, if there are any gaps on the chart as opposed to filling the gap by creating bars using counterfeit data. And, if the minimum range between two ticks exceeds the target range, the actual minimum range is shown. This is in opposition to range bar methods, which forces bars to the exact target by inserting fake data. So for example, if two sequential prices were $10.1 and $10.2, Kase’s method, using a 5-cent range, does not put in fake data but would generate a 10-cent bar, since that is as close to the target as one can get with real data. Other methods would insert a false tick at 10.15 to break up the 10-cent bar into two 5’s.
Got questions? Just email me directly daniel@kaseco.com
The following 13 users say Thank You to Dan Kase for this post:
. Maybe we can get someone to develop these bars for ninja .
