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daedalus

Optimizing Range Bar Settings?

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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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