Nicolellis range bars were developed in the mid 1990s by Vicente Nicolellis, a
Brazilian trader and broker who spent over a decade running a trading desk in
Paulo. The local markets at the time were very volatile, and Nicolellis became
interested in developing a way to use the volatility to his advantage. He believed
price movement was paramount to understanding and using volatility. He
developed Range Bars to take only price into consideration, thereby eliminating
time from the equation. Nicolellis found that bars based on price only, and not
time or other data, provided a new way of viewing and utilizing the volatility of the
markets. Today, Range Bars are the new kid on the block, and are gaining
popularity as a tool that traders can use to interpret volatility and place well-timed
trades.
Calculating Range Bars
Range bars take only price into consideration; therefore, each bar represents a
specified movement of price. Traders and investors may be familiar with viewing
bar charts based on time; for instance, a 30-minute chart where one bar shows
the price activity for each 30-minute time period. Time-based charts, such as the
30-minute chart in this example, will always print the same number of bars during
each trading session, regardless of volatility, volume or any other factor. Range
Bars, on the other hand, can have any number of bars printing during a trading
session: during times of higher volatility, more bars will print; conversely, during
periods of lower volatility, fewer bars will print. The number of range bars created
during a trading session will also depend on the instrument being charted and the
specified price movement of the range bar.
Three rules of range bars:
Each range bar must have a high/low range that equals the specified
range.
Each range bar must open outside the high/low range of the previous bar.
Each range bar must close at either its high or its low.
Settings for Range Bars
Specifying the degree of price movement for creating a range bar is not a one-
size-fits-all process. Different trading instruments move in a variety of ways.
My method of setting range bars
Calculate the Daily Range , Daily Range = high – low
Calculate 6 month average of the daily range
Take 10% of this 6 month average as range
Divide this 10% of the six month range by 0.05 to get R values for Amibroker
Amibroker Settings for range bars
How to display Range Bars
The Range Bars are price-driven bars, with each bar having a required minimum high-low
range. Source data are consolidated into one bar until the range requirement is reached, then
a new bar is started.
AmiBroker fully supports range-bar type of charting and the bar size is based on
the TickSize of given symbol. This allows to define symbol-specific tick sizes individually,
them display a chart which for example shows 10R bars (meaning bars using a range of 10-
ticks for each symbol respectively).
To display range charts, first you need to specify the TickSize in the Symbol–
>Information window.
This can be done manually as shown above, however in case of larger group of symbols it is
also possible to use ASCII Importer for this purpose (more details about ASCII imports can be
found here: http://www.amibroker.com/guide/d_ascii.html).
Once TickSize has been defined, then in order to display chosen range chart, the easiest way
is to use Interval box in the toolbar and just type-in the desired bar size. For example, to
select the range bar of 10-ticks, one can type-in 10R in the toolbar:
Custom range intervals can also be defined in Tools–>Preferences, Intraday tab:
Then the pre-defined interval can be selected from View->Intraday menu.
It is worth noting that for best results, your database should use Tick as Base Time Interval,
as then each trade is represented by an individual record in the database and can be
consistently compressed to range bars. Using higher-interval data (such as 1-minute) may
produce bars that are not perfect, especially if 1-minute bar high-low difference is
comparable with selected range.
In your Amibroker and truedata/gdfl subscription, check
these things :
1. File Database Settings
2. SymbolInformation ( this is for Nifty fut)
3. Range Bar Settings
Tools PreferencesIntraday
Easy way to set Range Bars in Amibroker after steps 1 and 2
has been completed :
Write the R value here :
