I'm doing some experiments with special bar types - focused on point and figure
- and have had some fairly reasonable test results (backtest and live demo trades).
Given this in the manual (emphasis mine):
Instead of fixed bar periods, bars can also cover fixed price ranges or can be defined by other criteria.
1. I'm wondering how I can create bars which have price ranges (var BarRange - in the manual examples) which are variable - being based on some measure of volatility (ATR or StandardDev) of the underlying Asset (tick or 1 minute) data?
(also - in a multiasset strategy this volatility measure will change based on the Asset switched to in the portfolio loop)
2. Wondering if anyone has done this for point and figure bars or any other special bar type created using bar() in Zorro?