Matlab Constant Volume Bars

Time based bars can be considered an extra parameter when it comes to trade system design although most people overlook it. In fact, there are multiple methods of creating bars. One such method is a constant volume bar, which basically continues to measure ticks until a certain volume number has been reached. For example, rather then arbitrarily closing a bar every 1m, the CVB will close when 100 cars have traded. The qualitative effect is to potentially reduce noise if you feel low volume has a corollary effect on price.

CVB SPY March 2009

CVB SPY March 2009

Usually CVB requires tick level data however you can utilize 1m depending on the volume criteria. Keep in mind you are trading off 1 parameter (time) for another (volume). I have not done any extensive research into the time series properties of volume/range/tick bars so if anyone has additional info please comment!


~ by largecaptrader on July 8, 2009.

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