Time, Tick, Range, and Volume Bars

Corey said: "While I normally go to elitetrader to scoff, there are actually a few intelligent traders there whose words I closely read. After a recent discussion about a futures trading system, many people recommended that instead of simply watching price action from a rather arbitrary 'time' standpoint, instead I use constant volume bars. For those of you who are not aware, a constant volume bar is simply a price bar that moves only when a certain amount of volume has gone through. This means that during periods of higher volume, more bars will go through at once. Constant range is for price-range. As long as the range is within the range of the bar, no more bars will be drawn. Constant tick bars each have the same number of ticks before drawing the next bar. For those looking for a quick overview, and perhaps some actual charts, read more [URL="http://enthios.com/OtherStuff/momentum_bars.htm"]here.[/URL] I must say, I am surprised to have never heard about them on our little board here. Something like constant volume bars, if you ask me, kill two birds with one stone -- they incorporate volume directly into the chart data as well as remove the ambiguous time element. A lot can happen in 1 minute in a hectic market. Nothing can happen in 8 hours. Constant volume seems to represent 'true' price action much more realistically than constant-time bars. Thoughts?"

LongArm said: "I've looked at these briefly in the past but couldn't really check 'em out in-depth because my stock analysis software didn't handle constant range bars. I've just discovered that my current version of the program does apparently handle them, so I'll play around with it when I have some time. Interesting stuff, for sure."