capissimo

Volume & Dollar Bars

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.
Release Notes: Major fix in calculation of long and short conditions.
Release Notes: Minor fix.
Release Notes: Minor fix 2.
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Comments

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