Adaptive real bar type
Next generation of adaptive bars. See the reasoning from "Revolutionaly new adaptive bar type" blog entry.
Minute based: VRT_Minute and VR_Minute (similar to earlier "Poor mans adaptive bar type")
Tick based: VRT_Tick and VR_Tick (similarities to earlier "Adaptive bar type")
V = Volume, R = Range, T = Time
Volume, Range and Time are adjusted automatically to match "similar amount of time bars" so if you are used to 15 min bars, just use value 15 -> time is adjusted in minute bars type from 1 min up to 30 Min (2*value, VR_Minute: no time limit) and range is calculated based from previous sessions' volatility to match and volume is based to previous sessions volume to match and break.
Minute version adjust back to logical time breaks as soon as possible, and a new bar can happen only at minute limits. Tick based happen immediately when range/volume/time limit is reached, (not adjusted back to logical time breaks, if that kind of version needed, just ask, done now: see VR_minute. Added 2024/04/05)
Minute based data is usually much easier to get for longer periods than tick data, and performance is one key aspect there too.
VR_Tick use only Volume and Range, so TIME is not limiting a bar duration like next one too!
VR_Minute, but this cutting happen at minute breaks. Good for backtesting, No tick data needed.
No phantom bars (= weakness of the range bars and virtual bars, no correct results), only real ones.
Pictures:
Standard 15 Minute & VRT_Minute (15):
FYI, Charts use my local TZ, 15:30 common time for financial numbers (USD, like Unemployment Rate and so on) and good check up point here, 16:30 US stock market open !
Added VR_Minute 2024/04/05 (No time limit)
Download: NT8
Use "Reload All Historical Data" Ctrl+Shift+R if something strange or new version added, even after first usage as firsts time not enough data initially.
Purchase: PriceGroup3
License: PVBars (or PVFullSet)
Be free to test! Some trial time added automatically.
Misc:
The download includes free PV_BarDuration and PV_BarCount indicators to see how bars are formed, and use VOL and Range as well to see current limits. When you start this to new instrument and TimeFrame first time, it will show an error message that file not found and it is not a problem. You can reaload data then but it is not a must.
Comparison to old PV ones:
- Time was max value, now up to 2*value. VR_type, no max limit
- Info is saved over rollover times in a file (Your Documents + ".PV" subdir).
- GetPercentComplete is calculated now. (based which limit is nearest to reach)
- Adjustments to range and volume happen after each session (avg of last 5 session) not at every data point as previously.
- Minute based bar adapts back to logical time limits as well.
- Calculation to range and volume limits changed.
- Naming has been changed.
Internal technology info:
BarsPeriodType 56, 57, 58 and 59 just not to overlap other bar types!
Volumetric bar types coming with NinjaTrader 8 support a nice microscopic view of inside bar even with delta information, sort of F1 (to add comparison to my Ford Pickup and Ferrari semantics in my previous blog entry ("Poor mans Adaptive Bar") but these adaptive bars will show when it is a time to check and calculate things again, perfect for day traders or for automated strategies. No need to check things in millisecond level but when real action happen.
Summary of Bars:
- Standard Minute → A Rusty bicycle (you might get to your destination with a hard work)
- VRT_Minute, VR_Minute → A New Ford Pickup (reliable, lasting, doing it's job, no need of extra data)
- VRT_Tick and VR_Tick → A Nice Ferrari (fast, accurate, sensitive, tick data needed)
- NT Volumetric → F1 without a track (you will end up to a wall and hard, if you manage to start it, order book info needed)
- (other ones like Renko, don't even think these virtual bars, same as Range bar, missing bars are filled but definitely not existing so not real, I would like to say paperware toy, but you can get so nice not real backtest result)
Example to use in manual trading compared to standard bars, faster entry and earlier but not too many bars or overtrade (standard cross of MA -> entry (see blue arrows, click to enlarge):
Actually, that picture tells the idea of the bars quite well too. Be free to test!.
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