Volume & Dollar Bars

צפיות ‎1812‎
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.
הערות שחרור: Major fix in calculation of long and short conditions.
הערות שחרור: Minor fix.
הערות שחרור: Minor fix 2.
סקריפט קוד פתוח

ברוח TradingView אמיתית, מחבר סקריפט זה פרסם אותו עם קוד פתוח, כך שסוחרים יוכלו להבין ולאמת זאת. הידד למחבר! אתה יכול להשתמש בו בחינם, אך שימוש חוזר בקוד זה בפרסום הנו בכפוף ל כללי הבית . אתה יכול להגדירו כמועדף ולהשתמש בו בגרף.

רוצה להשתמש בסקריפ זה בגרף?


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
@ja88a, you are perfectly right as to the lines 31-32 and adding adaptivity.