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Enhancing TA trading rules performance using filtered Price Bars

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 Durga G, Trader & Developer

 Sunday, August 11, 2013

Recently I came across an interesting paper that is about utilizing filtering price bars by standard deviation to improve the performance of technical trading rules. My understanding and comments on that paper is available here - http://www.atraderjournal.com/2013/08/enhancing-ta-trading-rules-performance.html Please feel free to let me know your thoughts, corrections and suggestions here or as comments on post.


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5 comments on article "Enhancing TA trading rules performance using filtered Price Bars"

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 Alex Krishtop, trader, researcher, consultant in forex and futures

 Monday, August 12, 2013



Durga, before proceeding with speculations on significance of 'big range' bast do three tests:

1. Leave only 'small range' bars

2. Leave only every 2nd (3rd, 4th and so on) bar, and

3. Leave only randomly taken bars (with a reasonable limitation on the maximum distance between them)

Only after that you will be able to seriously discuss any prominent properties of any class of bars.


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 Nikolay Stoykov, Managing Member at Annapolis Fund

 Tuesday, August 13, 2013



First, I have to admit that I use bar size in my trading system and I find them extremely useful. However, outside of context any "firm" rules can get you in real trouble. I also think that longer dated bars - weeks, months bring a lot more significance than an intraday bars and as I said, "context" of the bar is also extremely important. Funny enough I do the opposite - I weigh less smaller bars and weigh heavily bigger ones. I think Brown had something like that ( timeless) indicator. I wonder what he thinks of this.


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 Durga G, Trader & Developer

 Thursday, August 15, 2013



Alex - Thanks for the suggestions. I will try out those 3 tests. Just to make sure I understood, so you mean one use results of these three tests as a benchmark to evaluate validity/properties of other bar filtering techniques?

Nikolay - Thanks for your comment.


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 Alex Krishtop, trader, researcher, consultant in forex and futures

 Monday, August 26, 2013



@Durga, these tests aim to prove or disprove the hypothesis that there is some hidden but definite sense in leaving only bars with certain properties. If for example it turns out that taking bars at random makes an improvement comparable to the original technique then it's highly doubtful that this original technique is based on any significant market process.


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 Borut Skok, Market Analyst

 Saturday, September 28, 2013



Because the markets are insufficient, every data is needed and it must not be discharged by personal judgement.

Volatility is a second grade, artificial TA data tool and is more useful in complicatig things than in their resolving. The basics (data) are fractalized in every case. So volatility is a measure to attac the basics. The richesness in information of flat days from the article you mentioned is the same as the richesness of all others. There is no difference in their quallity. It is the task of the system to filter out what is not needed.

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