capissimo

Volume & Dollar Bars

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This scriptlet is a part of an ongoing project and attempts at volume and dollar bar identification. The original idea is taken from excellent books 'Hands-On Machine Learning for Algorithmic Trading' (2019) by Stefan Jansen and 'Advances in Financial Machine Learning' (2018) by Marcos Lopez de Prado.

Statement of Purpose

I am an advocate of Open source and against those who publish their code with a lock icon. My code and ideas are aimed at people with critical thinking, who are able to take an informative and responsible decision when it comes to investing their funds. I do not guarantee that all of my ideas will perform well. As usual, they require a certain degree of your sound judgment. My final aim is to provide you with coding techniques that you could use in your own scripts and strategies.
Sep 03
Notas de Lançamento: Major fix in calculation of long and short conditions.
Sep 03
Notas de Lançamento: Minor fix.
Sep 03
Notas de Lançamento: Minor fix 2.
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interesting, thanks again for sharing @capissimo however i fail to integrate/use that one, we would need an adaptive way to set that threshold/delta... that's really challenging, i miss the necessary math approach to address such a problem i guess. or via learning retroactively from previous price moves against the cumulated bar volumes? else you agree that line 31 & 32 are specific to the method bar type/method "Volume Bar" only? thanks
Resposta
@ja88a, you are perfectly right as to the lines 31-32 and adding adaptivity.
Resposta
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