Joerg
10-27-2009, 05:10 AM
Hello,
typically Range Bars are based on Tick-Data and when the defined Range is filled a new bar begins with the next tick. So one needs a lot of tick-data for backtesting on range bars.
Is it possible to implement an alternative range bar behavior in NT which starts the new bar when the defined range is filled AND the current minute is over? I know that the range bar is bigger than the defined range in most cases but it would be a big advantage for backtesting because one just need 1Min-Data and no ticks. And the bigger the defined range the smaller the failure caused by not using ticks.
Someone who finds this interesting too?
Greetings,
Joerg
typically Range Bars are based on Tick-Data and when the defined Range is filled a new bar begins with the next tick. So one needs a lot of tick-data for backtesting on range bars.
Is it possible to implement an alternative range bar behavior in NT which starts the new bar when the defined range is filled AND the current minute is over? I know that the range bar is bigger than the defined range in most cases but it would be a big advantage for backtesting because one just need 1Min-Data and no ticks. And the bigger the defined range the smaller the failure caused by not using ticks.
Someone who finds this interesting too?
Greetings,
Joerg