Range bar size: noise filter or signal delayer?

[Shadow Trader]

Range bars close when price has moved a fixed number of pips from the bar's open. A 4-pip range bar needs a four pip move to complete, however long that takes.

Smaller ranges give faster signals and more noise. Larger ranges filter noise but delay entries. The correct size depends on the pair's volatility and the strategy's target.

A useful rule of thumb ties the range to the average spread and the average candle size. A range bar smaller than a couple of spreads will mostly record spread noise. A range bar larger than the intended target means every trade is over before the chart can react.

A neat feature of range bars is that they adapt automatically to volatility, producing more bars during active periods. A downside is that the time axis disappears, which makes news and sessions harder to track unless time markers are added.

A cautionary tale from the data: a range bar that's too small relative to the spread produces a chart where nearly every bar is just the spread flipping. Signals look wonderful on such charts and vanish in real execution, since the apparent moves can't actually be captured.

Setting the range at, say, three to four times the typical spread keeps the bars meaningful. The strategy's target should also be a multiple of the range, so that trades span a few bars rather than less than one.

Anyone using range bars, what size works on which pair, and how is session timing tracked?