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Optimal Bars For Robotic Strategy


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Optimal Bars For Robotic Strategy

  #1 (permalink)
WhatIfGod
Birmingham, England
 
Posts: 21 since Nov 2018
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Hello,

Like everyone and their mother I'm trying to develop a robotic trading system, and in the process have drifted from futures to CFD's (for a variety of reasons) but in doing so have realised range bars are so wildy varied across the CFD charts, unlike with futures. Has anyone else encountered this kind of problem and found a way to deal with it? Do you think Range barts for a robotic strategy are a wise option? Any advice appreaciated.

Thanks in adavance.

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  #3 (permalink)
 
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 rleplae 
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You may want to read the book

https://www.wiley.com/en-us/Advances+in+Financial+Machine+Learning-p-9781119482086

It contains discussion about what type of bars to use, what works and what does not work
and why...


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  #4 (permalink)
WhatIfGod
Birmingham, England
 
Posts: 21 since Nov 2018
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Many thanks! I'll check it out

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  #5 (permalink)
 lamden 
San Francisco
 
Experience: Intermediate
Platform: TradeStation
Trading: ES
Posts: 7 since Nov 2018


WhatIfGod View Post
range bars are so wildy varied across the CFD charts.

Can you explain this a bit more? The same could be said about tick bars. For tick bars, a lot of people just experiment and end up using what works best for identifying the patterns and trends that helps them personally trade their own strategy. It's a bit more of an art than a science.

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  #6 (permalink)
WhatIfGod
Birmingham, England
 
Posts: 21 since Nov 2018
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I meant in the sense that some CFD charts have optimal range bars ranging from 20 to 400 depending on the instrument, while the futures charts I was previously testing on were all within a much tighter range. It just seemed a bit odd that the differences would be so high, but I've come to realis that's just the way it is. You could call it a 'brain glitch'.

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Last Updated on November 12, 2018


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