Support Board
Date/Time: Fri, 07 Feb 2025 12:45:54 +0000
Post From: Marcos Lopez De Prado -Alternative Bar Types
| [2020-05-28 21:09:12] |
| vectorTrader - Posts: 86 |
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I am looking to see if Sierra Chart is able to some of the alternative bar types discuss ins MLDP that is discuss here. While Sierra chart already supports volume bars, I am tring to understand dollar value bar and imbalance bars. Are the delta volume bars the same that are discussed in this article? It seems to me that dollar bars, would be a bar that accounts for the transacted volume at price. So wouldnt this just be a volume @ price bucket set for say $1,000,000. How would one go about making a volume profile based on a fixed notional value rather than other bar methods? Also, it appears that the volume imbalance discussed in this article is the same as the delta volume bars that sierra chart has already in the system. Can you confirm as I would like to use Sierra to create the bar types for testing. I appreciate it! http://www.blackarbs.com/blog/exploring-alternative-price-bars |