Welcome to the Traders Laboratory.

Trading and the Markets General trading forum. Anything related to trading and the markets goes here.

Reply
Old 01-31-2010, 05:17 PM   #1

daedalus's Avatar

Join Date: Jul 2007
Location: Omaha, NE
Posts: 627
Ignore this user

Thanks: 431
Thanked 562 Times in 228 Posts

Optimizing Range Bar Settings?

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!
daedalus is offline  
Reply With Quote
Old 02-01-2010, 02:38 PM   #2

electroniclocal's Avatar

Join Date: Oct 2009
Location: London
Posts: 93
Ignore this user

Thanks: 7
Thanked 57 Times in 31 Posts

Re: Optimizing Range Bar Settings?

I did some testing on 6E using my methodology and 9 ticks worked best. I have some charts on my blog. Eyeballing didn't work for me as well asbacktesting using some of my setups.
electroniclocal is offline  
Reply With Quote
The Following 2 Users Say Thank You to electroniclocal For This Useful Post:
BooDoo (02-01-2010), daedalus (02-01-2010)
Old 02-01-2010, 03:03 PM   #3

daedalus's Avatar

Join Date: Jul 2007
Location: Omaha, NE
Posts: 627
Ignore this user

Thanks: 431
Thanked 562 Times in 228 Posts

Re: Optimizing Range Bar Settings?

thanks for the input - I watched your market delta webinar over the weekend - great stuff!
daedalus is offline  
Reply With Quote

Reply

Thread Tools
Display Modes Help Others By Rating This Thread
Help Others By Rating This Thread:

Similar Threads
Thread Thread Starter Forum Replies Last Post
S&P Intraday Range and VIX Frank Technical Analysis 43 09-26-2011 02:54 PM
Overhaul Your PC Settings - Run Faster JPx2 Tools of the Trade 3 03-03-2011 06:45 AM
How to Trade Changes in Range? AgeKay Trading and the Markets 7 04-15-2009 08:18 PM
SPY Opening Range Volume Vs Days Range darthtrader Technical Analysis 3 04-17-2008 10:54 AM
Symbol Settings ImXotep Brokers and Data Feeds 1 05-04-2007 06:05 PM

All times are GMT -4. The time now is 03:29 AM.
Copyright ©2000 - 2014, Jelsoft Enterprises Ltd.
CS to VB integration by DeskLancer
2006-2011 Traders Laboratory, All Rights Reserved.