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Does anyone have use the dollar bars for building a strategy? I would like to know what ways you guys might be interested to set the dollar bars' parameter ( the dollar value ). I have thought of one way is to take the EMA of the past 20 days' daily dollar value but that seems not robust enough.

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If you read the literature in the references and bibliography sections you will see that a common technique is to sample about 50 times a day. This is done by calculating the 30 day moving average of volume and then dividing by 50.

This will give you the threshold level needed for sampling on a volume clock.

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  • $\begingroup$ Thank you very much Mr Joubert. $\endgroup$ – Tsz Chun Leung Feb 1 at 10:11

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