Range Bars


i'm looking for the best way to develop a strategy that is based on Range bars ( using high - Low for the size)  for s&p e-mini.

the closest thing i found was the Renko consolidator , but it looks like it is based on open-close for the size, though i'm not sure...

any help will be appreciated....

Update Backtest

Correct; the Renko consolidator is based upon open-close for the size. That being said custom consolidators can be created if need be. Here is a link to the Renko consolidator's implementation which can be used as a template to help create the range bar consolidator.


Aviv, my strategy is also based on Range Bars.   I'll let you know what I find.   Looks like a custom consolidator is required which sucks.

Maybe if there's enough interest, the developers will implement.  It is one of the more recent bar chart types that is gaining popularity.


Update Backtest


The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


This discussion is closed