Here is an idea from long ago… using a sliding-window technique to compromise between responsive charts and summary-level information.
For scalping on @ES, 1597 share bars are about the fastest candles I can comfortably watch. Yet, when turns are fast, my bead-reader measure of the trend direction is too slow to turn around. So, I created a chart out of 377 share bar data, but created synthetic bars out of a rolling 5-bar window. These synthetic bars show approximately the same level of information as the 1597 bars did, so I don’t have to put up with any extra price noise.
These two example pictures should make it clear what I mean… you can see the 1597 share bars on the left, and my synthetic 1597-level info on the right, made out of ultra-fast 377-share bar data.
Interesting to note that the good PattyB (eotpro) signals on the 377 chart generally have corresponding PattyB signals on the 1597 chart. What a great indicator! It’s just that the rest of the “bead” indicators don’t usually line up in time to validate the faster turns. The 377 chart is fast enough, all around, though.
Also note how generally disorganized the beads are in that first pic, when the synthetic price chops through that blue moving average. Two indications of choppy action. (This works on normal charts as well, but the MA isn’t usually quite so eager to get inside the action.)
I’ll look through a bunch of historical data before I try to replace my 1597 chart with this synthetic one, but the idea makes enough sense…
Aside: Note that while the drawing part would be a ton harder, it should be possible to create synthetic renko/range/change/etc bars manually and draw them. The problem is, you wouldn’t be able to apply indicators to those charts, since there’s not a 1-to-1 correspondence between the underlying chart data and the synthetic bars. Oh well… I would like to play with those change bars, so maybe I’ll write the code regardless.
December 9th, 2007 at 12:20 pm
i hope the good folks at investor rt are big fans of MtM…this would make a great feature on any charting package…i like the idea, but don’t know enough to apply it to my own charting package…btw, u said it could be done manually, but i can’t see how if you’re talking about intra day data…it would just be too much wouldn’t it?
anyway, i see you’re pulling out the big guns to overtake TLo for this year’s award…the judges are quite impressed, but a little bribe never hurts
December 9th, 2007 at 12:31 pm
Yes, I would love to see a generic synthetic bar capability in a chart package. Not sure if anyone has this. Such that I can define custom ways to break the tick data into bars. Then, I could make my own range/change/pnf/renko/whatever charts by defining the correct rules. You could do combinations like “draw a new bar if we’ve done 2000 shares OR 300 ticks AND it’s been at least 20 seconds.” More importantly, if the chart package were providing that hook, then it could feed the synthetic bars to indicators so that they function correctly.
When I was talking about drawing renko/range/change/etc. “manually,” I meant in the sense that your easylanguage code would draw them as “art” by drawing lines and boxes somewhere on a blank area of the chart. Since there are no hooks as I described above, it would look like a chart to me, but no indicators could be applied to it.
December 9th, 2007 at 12:55 pm
i suppose a compromise of possibly watching the action on a larger timeframe on a minute based chart (10′ maybe), and simultaneously watching it on a change (tick, volume, or other responsive chart) would make a decent compromise…that’s what i’m hoping anyway
i agree that the sliding window would work better, but without that capability, would my idea work similar?
December 9th, 2007 at 4:05 pm
Yeah, you can watch the slow candles on one chart and the fast indicators on another… it’s essentially the same thing. It’s just that when they are on one chart it’s easy to line things up and see which signals happened at which times. In multicharts, you can throw the fast indicators directly onto the slow chart, actually. What I don’t like about doing that, is that it spreads out the slow candles so that the distance between them is really wide (because all the fast indicator data has to fit between them). So, even in multicharts land I think I might prefer the sliding window candles.
December 9th, 2007 at 4:23 pm
definitely…thanks
December 9th, 2007 at 11:46 pm
Hey Richard,
Synthetic Charts, very cool idea. They show trend changes very quickly.
I like the way G Valu and the EOT TA indicators were predicting reversals and trend continuations on the synthetic charts you posted.