Range Bar Calculation Tool
I have been doing some work with range bars in eSignal, and came across a very nice and relaxed way to trade the ES, and several other futures contracts. To make it more "relaxing", there's a couple of tools that would be helpful, and am seeking some advice/direction/samples to develop and EFS.
Here's the situation:
I am basically picking a range bar value, finding a choppy period and fading each bar. So what do I mean by that? Let's say that I'm going to trade the 6E (Euro Futures) contract. I have determined that the 6E is stuck in a choppy, non-trending mode. I further determine that it's moving about 15 ticks up and down.
So I setup a 6E chart with a 0.0015R "timeframe". This will create 15 tick range bars. To start, I look at the next range bar forming. It starts out at something minimal like 2-3 ticks, and then starts to grow in height, as the 6E bounces up and down. Eventually the height grows to 15 ticks and the next range bar starts. What I want to do is put a limit order to sell one contract at the top of this bar if closes on the high, or a limit buy if it closes on the low. In other words, I'm just going to go opposite (fade) the current move.
On each sucessive bar, I want just to do the opposite - sell on the high and buy on the low. The first bar I start on will set the stage for each subsequent trade. In other words, I don't know if I'm going long or short on the first bar, but each bar after that will be the opposite, until I decide to stop.
So what I am doing is continuously calculating what the next limit buy or sell will be in my head, and depending on my concentration level can be subject to human error. It would be nice if I had some sort of heads up calculating what those limit orders should be as the range bars are forming.
A couple of thoughts I've had (keeping in mind my newcomer status to eSignal), was to either use the cursor window or have the text display right on the chart (which I'm not sure is possible).
In the cursor window idea, there could be an indicator that would perform the calculations, and simply be displayed as values in the cursor window. If I go down this path, not afraid to admit I'm not sure how to create and EFS to perform the calculations.
Any help would be greatly appreciated.
First of all thanks for your response, and creating this EFS.
I may not be using the EFS correctly, as I wasn't able to see anything on the chart. To be sure, here's what I did:
1. Inserted the EFS to the "6E H0" contract. This chart has an interval of 0.0016R, creating a 16 pip range bar for the Euro.
2. After inserting, it created a new subchart at the bottom, however nothing is being displayed.
3. I then Edit Studies, and set the "Range Bar Size" to 0.0016, and the "Buy/Sell Stop Trigger" to 0.0001. My thought here is that to have the limit order just one pip above and below the height of the bar.
In any case, it still didn't display anything. I tried to edit the EFS, to possibly see how it was setting itself up, but required a password.
the inputparameters are correct but you must correct the decimal point to 4 for forex.
if u open the efs it open a indicator window, you must drag this window up in to the chart window. press the shift button and then drag the indicator window with the left mouse up in to the chart window.
p.s. the formular is from woddies cci forum done by optiranger !!!
Last edited by vienna; 03-04-2010 at 06:21 AM.
Thanks for the update, and now making progress!
Just for the record, I had also move the indicator window into the chart window. However, the text display is to the far right edge, so I had to move the left a little bit to see it. Setting the decimal to "4", also put everything into place.
There is only one other issue. The Buy and Sell should actually be the opposite. In this case, I am fading (going opposite). So if the range bar closes at the top (the high), I would sell at one pip higher - which is actually the open of the next bar. If it closes at the bottom (the low), I would buy one pip lower - which is again the open of the next bar.
So if this code came from the Woodies CCI forum, I am guessing it can't be modified?
no the efs is for entering a trade 1 tick above or below the rangebar.
i dont know, u have to go to woodies cci forum and ask for optiranger
thats all what i can help u
Thanks once again, you've been a great help.
I went to Woodies CCI Forum, and found the thread, and can read it from there.
I'm just catching this thread as I registered with esignal plateform. I see that you have an interest in rang bar chart. I try to implement some methodology of trading with it. I didn't find yet some other threads on it.
My first goal is to display the live indication of the ending price (High or low) of the current candlestick as we know the range. Is there any EFS that can help.
Hi Vienna if you see this post , it seems you inquire on this problem ?
thanks a lot for your help