Range Charts? A Few Questions...

[daedalus 10]

I've been playing around with some range charts in TradeStation lately trying to use them as a way to more cleanly interpret price.

 

My question is this - do historical range charts mean anything? What I mean is when I pull up historical data - everything is printed up concisely and neatly. But the live data that is being built isn't nearly as clean or concise. And then when you refresh the chart - it reprints what has happened back into these nice clean swings.

 

So what gives - it doesn't work in real time?

 

Live Real Time Input:

After Refresh:

[brownsfan019 17]

Dae - I've toyed w/ range charts as well and on OEC's platform I didn't like how they printed at times. I never encountered what you are seeing here though. What happens there is let's say you have a 4 tick range and price is moving quickly and jumps more than 4 ticks. Well, it technically moved 4 ticks and you get a dash printed on the chart. So during quick moves (news) I found range charts useless.

 

As for what you are seeing here, that is bizarre. Back when I was using TS and volume charts, similar things would occur after hitting refresh. Also useless in real-time.

 

Try comparing to another platform and see if it's the range chart function itself or the platform you are using.

[daedalus 10]

Thanks BF.

 

After reading some on the TS forums, apparently this occurs if the interval or the range is too small for the underlying price movement on a given symbol.

 

So basically, you have to test out in real time (and then check historically after a refresh) to make sure that your range and your interval are large enough to print historically and in real time identically.

 

If anyone knows more about "optimizing" range charts i'm all ears!

 

I would give my left nut to be able to trade a chart like I posted above. The only thing I can see is constantly refreshing my charts to get an ideas of areas of S/R levels.

[Kiwi 16]

In other words Trade Stations range charts are buggy.

 

If they were properly programmed then refreshes won't result in reprints (so speaks a long time programmer of zigzag logic etc).

[flyingdutchmen 10]

looks more like renko bricks

Edited November 12, 2009 by flyingdutchmen

[BlowFish 10]

Range charts should be identical provided you start plotting them from exactly the same place each time. (If you think about it the first tick will be your reference point). Some implementations might reset at midnight or session start time giving some small discrepancies.

 

As with all charts 'tuning' them will depend on what you want to see. What you want to see should depend on what your objectives are (e.g. the size of swings you are looking to capture). There is no one size fits all.

[electroniclocal 10]

I have been using range bars for years on eSignal, MultiCharts and Ninjatrader. I do not get the effect you describe. If the price moves and gaps, the range bars should be filled in (but not all implementations do this). In a fast market you may see some funny charts with horizontal development when there is a lot of volume but not much price movement.

 

If you trade ES, try 5 or 6 ticks, same for Dow Euro 50 and same for the Euro FX. These are good day trading range bar values in my experience. Have a look at some of the charts on my blog - they are all range bars built in real time.

 

I think that there may be an issue with Tradestation as they implemented range bars as a bolt on and may still have some refining to do.

[3monkeys 10]

I've been playing around with some range charts in TradeStation lately trying to use them as a way to more cleanly interpret price...

 

So what gives - it doesn't work in real time?

 

You are showing the oscillation of tick data over 15 min when you set the range setting like you did. This is the instruction from TS.

 

Range defines the specific price range for each of the Range Bars.

 

The Range value must be greater than the min. movement for the symbol, and should be evenly divisible by the min. movement or rounding errors may occur.

 

The Interval setting specifies the interval of the data used to build the Range Bars. The appropriate interval depends on your market perspective. Users with a short-term perspective may benefit from using smaller intervals (more precision/noise). Users with a long-term perspective may benefit from larger intervals (less precision/noise).

 

Important: Whenever an Interval setting greater than 1 tick is being used, it is important that the Range value is larger than the typical oscillation for that specific interval. If the Range value is too small, more Range Bars may be created in real-time, as a result of the real-time price oscillations within the interval, than will be created when the Range Bars are built historically. Specific examples of this behavior are provided in the TradeStation Help.

[daedalus 10]

^^ Yea thats what I was commenting on before, that basically I had to change the settings of the charts to show up in real time the same way they do historically.

 

But just out of curiosity - there is no way to have the charts show up the way I presented in the first image in real time correct?

[DavidChazin 10]

Hi,

 

I have been using range bars successfully for a while now. For live trading purposes, I base range bars on a 1-tick interval. Unfortunately, for backtesting puuposes, TS does not supply an adequate amount of historical data -- so, for backtesting purposes, I base the range bars on a 1-minute interval. See attached file.

 

I hope this helps.

 

--David

[thalestrader 14]

Hi daedalus,

 

I've used range charts myself, and with Ninjatrader I have experienced none of the issues you seem to have with your data (you can see some examples in the "Reading Charts" thread, especially from June. I do know that not only do I need to adjust the range to the instrument, I often will need to adjust the range for the same instrument over time as volatility changes. For example, over the last two years, I have used ranges from 10 ticks on the small end to 40 ticks at the high end for trading the 6E and the 6B.

 

I don't know if that helps, but if not, it at least should do no harm.

 

Best Wishes,

 

Thales