Research method
OHLC bar construction
OHLC bar construction is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Research filter
- Input
- Order book, spread, volume, auction and trading costs
- Horizon
- Seconds to the order life cycle
- Best use
- Choose an executable order and account for implementation cost.
- Input: Order book, spread, volume, auction and trading costs.
- Output: filter.
- Use boundary: Choose an executable order and account for implementation cost.
The graph1
How the method is built, and where it has been read
Depends on
Often reviewed together
Session analysis6 readings
Read in the archive14 readings
1988Folding night auctions into daily OHLC bars1989Constructing currency-translated commodity OHLC bars1990Volume-width candlestick bar construction1991Session-fitted bars and average-true-range risk bounds1991Overnight versus session decomposition of futures bars1992Converting OHLC, session, and rollover series for analysis1994Constructing range overlap and bar-pattern filters from neighboring OHLC bars1995Open-range stops after a fifty percent retracement1997Lock the ohlc-bar before a flag or candle becomes a setup1998Percentage back-adjusted futures series2003Equal session OHLC bars for multiframe stochastic decisions2003Continuous FX auctions, session-cuts, and gap proxies2008Near-end-of-bar confirmation for discretionary entries2018Constructing roller-and-strip charts from high-low-close pressure
This registry entry describes a research method. It is not investment advice and does not make a performance claim.