User-defined bars

bar(vars Open, vars High, vars Low, vars Close, vars Price, DATE Start, DATE Time): int

Parameters:

Returns:

Remarks:

• The bar function in a single asset strategy is automatically called during the history building process and has access to the current and previous candle. Indicators, series, price, or trade functions can not be called from inside a bar function.
• If prices are not otherwise modified by the bar function, they are set up as for a normal candle, i.e. Open[0] is the first price of the bar, High[0] is the highest price so far, Low[0] the lowest price and Price[0] the current mean price of the bar.
• Modified prices also determine the corresponding price functions (priceOpen, priceHigh, priceLow, priceClose, price) and all price-dependent indicators. They can cause data-snooping when trades open or close intra-bar and the bar open price is affected by its close price. Setting the TICKS flag causes trades to be opened and closed on real historical price ticks instead of modified prices, thus eliminating snooping bias.
• Some special bars, such as Range or Renko bar variants, are affected by any preceding bar and thus depend on the time of the very first bar. The same special bars can thus produce very different charts depending on start date, lookback period, bar period, bar offset, time zone, or any other settings that affect the start time. Write your strategy in a way that it is robust against different start times.
• BarPeriod has no effect on special bars except for the above mentioned start time and the pre-allocation of bar memory. For allocating enough bars without wasting memory, set BarPeriod to the approximate average bar duration that is displayed in the performance report. If you don't know it, set BarPeriod = 1. Bar zones and bar offsets should not be set when using special bar types.
• In multi-asset strategies, or in strategies with multiple bar types, the bar defining function must be called in the script individually per asset or algo, and thus needs a different name than bar for not being called automatically. Since any asset has different bars, series must be static and shifted by script. An example for a multiple asset strategy with Renko bars can be found in the SpecialBars script.
• Renko bars are described slightly differently on different websites. The examples below contain 3 known variants.
• Traditional price-distance bars, such as Renko, Range, or Point-and-Figure bars, are not really recommended for serious trading systems. Since they ignore the time component, they normally reduce the strategy performance. This may be different for special bars sampled by other criteria such as trade volume or tick rate. Although there is no standard algorithm for those bars, they might in fact improve performance since they carry additional information and have a 'more Gaussian' distribution. Experiment with your own bar types!

Examples (see also SpecialBars.c):

var BarRange = 0.0030; // 0.3 cents bar range

// Range Bars
int bar(vars Open,vars High,vars Low,vars Close)
{
  if(Open[0] != Close[1]) {
    High[0] = max(Open[0],Close[1]);
    Low[0] = min(Open[0],Close[1]);
    Open[0] = Close[1];
  }
  if(High[0]-Low[0] >= BarRange)
    return 1;
  return 4;
}

// Renko Bars, variant 1 
int bar(vars Open,vars High,vars Low,vars Close)
{
  Open[0] = roundto(Close[1],BarRange);
  if(Close[0]-Open[0] >= BarRange) {
    Close[0] = Open[0]+BarRange;
    High[0] = Close[0];
    Low[0] = Open[0];
    return 1;
  }
  if(Open[0]-Close[0] >= BarRange) {
    Close[0] = Open[0]-BarRange;
    High[0] = Open[0];
    Low[0] = Close[0];
    return 1;
  }
  return 4;
}

// Renko Bars, variant 2 
int bar(vars Open, vars High, vars Low, vars Close)
{
  var OpenDiff = abs(Close[0]-Open[1]);
  var CloseDiff = abs(Close[0]-Close[1]);
  if(OpenDiff < CloseDiff) // we have a valley or peak
     Open[0] = Open[1];
  else  // we are moving with the trend
     Open[0] = roundto(Close[1],BarRange);
  if(Close[0]-Open[0] >= BarRange) {  // going up
    Close[0] = Open[0]+BarRange;
    High[0] = Close[0];
    Low[0] = Open[0];
    return 1;
  }
  if(Open[0]-Close[0] >= BarRange) { // going down
    Close[0] = Open[0]-BarRange;
    High[0] = Open[0];
    Low[0] = Close[0];
    return 1;
  }
  return 4;
}

// Mean Renko Bars
int bar(vars Open, vars High, vars Low, vars Close)
{
  Open[0] = 0.5*(Close[1]+Open[1]);
  if(Close[0] <= Open[0] - BarRange) {
    Close[0] = Open[0] - BarRange;
    return 1;
  } else if(Close[0] >= Open[0] + BarRange) {
    Close[0] = Open[0] + BarRange;
    return 1;
  }
  return 4;
}

// Haiken Ashi Bars
int bar(vars Open,vars High,vars Low,vars Close)
{
  Close[0] = (Open[0]+High[0]+Low[0]+Close[0])/4;
  Open[0] = (Open[1]+Close[1])/2;
  High[0] = max(High[0],max(Open[0],Close[0]));
  Low[0] = min(Low[0],min(Open[0],Close[0]));
  return 8;
}

// Point-and-Figure Bars
int bar(vars Open,vars High,vars Low,vars Close)
{
  static int direction = 0;
  if(direction == 1 && High[0]-Close[0] >= BarRange) {
    Open[0] = round(Low[0],BarRange);
    Close[0] = round(High[0],BarRange);
    Low[0] = Open[0];
    High[0] = Close[0];
    direction = 0;
    return 1;
  }
  if(direction == 0 && Close[0]-Low[0] >= BarRange) {
    Open[0] = round(High[0],BarRange);
    Close[0] = round(Low[0],BarRange);
    High[0] = Open[0];
    Low[0] = Close[0];
    direction = 1;
    return 1;
  }
  return 4;
}

See also: