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.
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.