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Chad,
I just reviewed the links you had posted earlier about this and saw...
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Notice that the volume of every bars is essentially the same. All bars have the required volume of 5000, with some having slightly more depending on the volume of the last tick/trade that occurred in that bar. |
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True Constant Volume Bars should be "EXACTLY" the volume stated, not just approximate, nor "essentially" the same. This is the same problem that plagues Tradestation's implementation of Volume Bars, IMHO.
Have you looked into this, and are you planning on updating your algorithm to address this issue (if you haven't already, that is ) ?
-fs