{"format":"alysly-page/1","url":"https://alysly.com/learn/data-and-bars/","json":"https://alysly.com/json/learn/data-and-bars/index.json","lang":"en-US","title":"Time Bars vs Dollar Bars: Sampling for Financial ML","description":"Why fixed time intervals are a poor sample and how tick, volume and dollar bars even out the information density.","published":"2026-08-02T15:54:51+02:00","modified":"2026-11-01T18:26:04+01:00","alternates":[{"lang":"de-DE","url":"https://alysly.com/de/lernen/daten-und-bars/","json":"https://alysly.com/json/de/lernen/daten-und-bars/index.json"}],"about":"Machine-readable version of the page at url. It contains the text, tables and key figures published there, but not the interactive charts and tools.","breadcrumb":[{"name":"Investing & Trading Basics","url":"https://alysly.com/learn/"},{"name":"Level 3","url":"https://alysly.com/learn/#level-3"},{"name":"Data and Bars: The Sample Decides","url":"https://alysly.com/learn/data-and-bars/"}],"content":[{"type":"paragraph","text":"Level 3 AI in Trading · Part 3/9"},{"type":"heading","level":1,"text":"Data and Bars: The Sample Decides"},{"type":"paragraph","text":"By Alexander Bock, founder and data analyst","links":[{"text":"Alexander Bock","href":"https://alysly.com/about/"}]},{"type":"paragraph","text":"Before a model can learn anything, the continuous stream of trades has to become a table of rows. That decision is almost always made without thinking about it, yet it matters more than the choice of model."},{"type":"heading","level":2,"id":"the-problem-with-time-intervals","text":"The Problem With Time Intervals"},{"type":"paragraph","text":"The default is the time bar: one row per minute, hour or day. But markets do not trade evenly across time. The first trading hour holds many times the activity of the midday hour. Around a central bank decision, more happens in minutes than otherwise happens in whole days."},{"type":"image","src":"https://alysly.com/img/ta/information-bars.7f7936b7c99d678189c39a1fa94a5ee1384d94c8e27878bcece8797e4a8f1696.webp","alt":"Time-based sampling versus activity-based sampling of the same trading activity"},{"type":"paragraph","text":"Below is trading activity through the day — anything but uniform. (1) Time bars cut the series into equal time slices: quiet phases produce many near-empty observations, hectic ones squeeze everything into a single bar. (2) Activity or dollar bars cut at equal traded volume instead: the slices differ in length but carry comparable information. Statistically, returns sampled this way are far closer to a normal distribution."},{"type":"paragraph","text":"The result: quiet phases produce many almost empty observations, while hectic phases squeeze a great deal of information into a single row. For a model, the rows of the table are not comparable: some carry hardly any information, others too much."},{"type":"paragraph","text":"This shows up in the statistics: returns from time bars are more skewed and have considerably fatter tails than returns from activity-based sampling."},{"type":"heading","level":2,"id":"the-alternatives","text":"The Alternatives"},{"type":"paragraph","text":"Tick bars. A new row after every n trades. This evens out the number of events but ignores their size. Because much order flow is now split into small child orders, the count is easily distorted."},{"type":"paragraph","text":"Volume bars. A new row after every n units traded. This is closer to economic activity than a plain count of trades."},{"type":"paragraph","text":"Dollar bars. A new row after every n units of currency traded. The main advantage over volume bars: after a large price increase, the same number of shares represents far more capital. Over long horizons, and through buybacks or new issues, dollar bars therefore stay comparable the longest."},{"type":"paragraph","text":"The effect is unspectacular and effective. The slices vary in length, but each one carries a comparable amount of information. Returns built from them sit closer to a normal distribution, which is exactly what almost every method further down the line assumes."},{"type":"heading","level":2,"id":"event-based-sampling","text":"Event-Based Sampling"},{"type":"paragraph","text":"One step further: do not sample at regular intervals at all, but only when something has happened. A common criterion is cumulative movement crossing a threshold, known as a CUSUM filter. The model then only sees situations in which a decision would actually come up."},{"type":"paragraph","text":"The side effect matters more than it sounds: the sample is smaller, but every row is relevant. Models trained on a hundred thousand rows of uneventful price action mostly learn to reproduce the normal state."},{"type":"heading","level":2,"id":"what-this-means-in-practice","text":"What This Means in Practice"},{"type":"paragraph","text":"For the pattern statistics of Level 2 there is an uncomfortable consequence. A study on daily bars does not measure the pattern; it measures the pattern plus the sampling decision. Two studies of the same pattern with different bar definitions cannot be compared.","links":[{"text":"Level 2","href":"https://alysly.com/learn/#level-2"}]},{"type":"paragraph","text":"Tick data is usually not available. Even then, the awareness remains that daily bars are a convention from the era of printed price lists, not a natural unit of the market."},{"type":"heading","level":2,"id":"next","text":"Next"},{"type":"paragraph","text":"The next hurdle: price series are not stationary, but models need stationarity without losing the memory of the series."},{"type":"list","ordered":false,"items":[{"text":"Previous Why Machine Learning Fails in Markets","href":"https://alysly.com/learn/why-ml-fails-in-finance/"},{"text":"Next Stationarity and Memory","href":"https://alysly.com/learn/stationarity-and-memory/"}]},{"type":"heading","level":2,"text":"Indices"},{"type":"table","caption":"Indices, performance over the selected period","columns":["Index","1M"],"rows":[[{"text":"Dow Jones","href":"https://alysly.com/markets/indices/dow-jones/"},{"text":"+1.0%","data":{"m1":"+1.0%","m3":"-4.3%","m6":"+4.9%","ytd":"+7.6%","max":"+30.0%"}}],[{"text":"S&P 500","href":"https://alysly.com/markets/indices/sp500/"},{"text":"-2.6%","data":{"m1":"-2.6%","m3":"-2.2%","m6":"+4.2%","ytd":"+10.6%","max":"+35.6%"}}],[{"text":"MSCI World","href":"https://alysly.com/markets/indices/msci-world/"},{"text":"-2.0%","data":{"m1":"-2.0%","m3":"-2.4%","m6":"+3.7%","ytd":"+10.0%","max":"+35.0%"}}],[{"text":"MSCI ACWI","href":"https://alysly.com/markets/indices/msci-acwi/"},{"text":"-3.3%","data":{"m1":"-3.3%","m3":"-3.0%","m6":"+2.3%","ytd":"+10.2%","max":"+41.5%"}}]]},{"type":"heading","level":2,"text":"ETFs"},{"type":"table","caption":"ETFs, performance over the selected period","columns":["Fund","1M"],"rows":[[{"text":"SPDR S&P 500 ETF Trust SPY","links":[{"text":"SPDR S&P 500 ETF Trust","href":"https://alysly.com/markets/etfs/us/spy/"}]},{"text":"-2.6%","data":{"m1":"-2.6%","m3":"-2.2%","m6":"+4.2%","ytd":"+10.6%","max":"+35.6%"}}],[{"text":"Vanguard S&P 500 ETF VOO","links":[{"text":"Vanguard S&P 500 ETF","href":"https://alysly.com/markets/etfs/us/voo/"}]},{"text":"-2.6%","data":{"m1":"-2.6%","m3":"-2.2%","m6":"+4.2%","ytd":"+10.6%","max":"+34.1%"}}],[{"text":"iShares Core MSCI World UCITS ETF USD (Acc) EUNL","links":[{"text":"iShares Core MSCI World UCITS ETF USD (Acc)","href":"https://alysly.com/markets/etfs/ishares-core-msci-world-ucits-etf-usd-acc/"}]},{"text":"-2.0%","data":{"m1":"-2.0%","m3":"-2.3%","m6":"+4.3%","ytd":"+10.6%","max":"+487.5%"}}],[{"text":"Xtrackers MSCI Emerging Markets UCITS ETF 1c XMME","links":[{"text":"Xtrackers MSCI Emerging Markets UCITS ETF 1c","href":"https://alysly.com/markets/etfs/xtrackers-msci-emerging-markets-ucits-etf-1c/"}]},{"text":"-9.4%","data":{"m1":"-9.4%","m3":"-4.1%","m6":"-3.3%","ytd":"+14.0%","max":"+93.0%"}}]]},{"type":"heading","level":2,"text":"Stocks"},{"type":"table","caption":"Stocks, performance over the selected period","columns":["Stock","1M"],"rows":[[{"text":"NVIDIA Corporation NVDA","links":[{"text":"NVIDIA Corporation","href":"https://alysly.com/markets/stocks/nvidia-corporation/"},{"text":"United States","href":"https://alysly.com/markets/stocks/browse/?country=United%20States"}]},{"text":"-13.5%","data":{"m1":"-13.5%","m3":"-2.5%","m6":"+5.2%","ytd":"+10.8%","max":"+62.2%"}}],[{"text":"Apple Inc. AAPL","links":[{"text":"Apple Inc.","href":"https://alysly.com/markets/stocks/apple-inc/"},{"text":"United States","href":"https://alysly.com/markets/stocks/browse/?country=United%20States"}]},{"text":"-0.3%","data":{"m1":"-0.3%","m3":"+7.3%","m6":"+16.8%","ytd":"+22.1%","max":"+45.8%"}}],[{"text":"Tesla Inc. TSLA","links":[{"text":"Tesla Inc.","href":"https://alysly.com/markets/stocks/tesla-inc/"},{"text":"United States","href":"https://alysly.com/markets/stocks/browse/?country=United%20States"}]},{"text":"+5.2%","data":{"m1":"+5.2%","m3":"+21.7%","m6":"+2.3%","ytd":"-11.4%","max":"+65.3%"}}]]},{"type":"paragraph","text":"Data note 1","href":"#dn-1"},{"type":"heading","level":2,"text":"More Studies"},{"type":"list","ordered":false,"items":[{"text":"Jul 21, 2026 Collectibles ×5.4 for the same cards, matched-model index, Mar 2022 – Aug 2026 Is the Pokémon Card Market in a Bubble? 4,159 Sales Analyzed Prices for PSA-graded cards multiplied. Measured on the same cards they rose 438%, while the raw median shows 786% because pricier cards came up for sale later.","href":"https://alysly.com/analysis/pokemon-card-market-bubble/"},{"text":"May 19, 2026 Crypto 45.6% Bitcoin’s annualized volatility, Jul 2024 – Sep 2026 Bitcoin in Investment Portfolios: The Real Numbers Bitcoin is calmer than it was and still about three times as volatile as the stock market. It moves with stocks, not with gold.","href":"https://alysly.com/analysis/bitcoin-investment-portfolios/"},{"text":"Mar 17, 2026 Wealth €1.2m needed for €3,000 a month indefinitely at a 3% real return Living Off Your Returns: What It Really Takes The capital you need is arithmetic. The return you assume is a guess, and it can triple the answer.","href":"https://alysly.com/analysis/living-off-returns/"}]},{"type":"paragraph","text":"View all studies","href":"https://alysly.com/analysis/#studies"},{"type":"heading","level":2,"text":"Learn"},{"type":"list","ordered":false,"items":[{"text":"Stationarity and Memory Returns erase memory – fractional differentiation does not.","href":"https://alysly.com/learn/stationarity-and-memory/"},{"text":"Labels: Triple Barrier and Meta-Labeling Fixed horizons produce unusable labels – the triple barrier fixes that.","href":"https://alysly.com/learn/labeling/"}]},{"type":"paragraph","text":"Course overview","href":"https://alysly.com/learn/"},{"type":"paragraph","text":"Updated Nov 1, 2026 · Content and figures checked Oct 19, 2026"},{"type":"heading","level":2,"id":"note-legend-h","text":"Data Notes"},{"type":"paragraph","text":"All calculations run automatically and are not investment advice."},{"type":"list","ordered":true,"items":[{"id":"dn-1","text":"Returns computed automatically from the price series, excluding dividends, taxes and costs."}]},{"type":"paragraph","text":"Data and methodology: Alysly · Responsible for content: Alexander Bock","links":[{"text":"Alysly","href":"https://alysly.com/methodology/"},{"text":"Alexander Bock","href":"https://alysly.com/about/"}]},{"type":"paragraph","text":"View all data notes","href":"https://alysly.com/notes/"}],"structured_data":[{"@context":"https://schema.org","@graph":[{"@type":"Organization","@id":"https://alysly.com/#org","name":"Alysly","url":"https://alysly.com/","logo":{"@type":"ImageObject","url":"https://alysly.com/img/icon-512.png","width":512,"height":512},"description":"Data-driven insights, transparent analysis and powerful tools for long-term investors.","email":"mail@alysly.com","contactPoint":{"@type":"ContactPoint","contactType":"customer support","email":"mail@alysly.com","availableLanguage":["de","en"]},"address":{"@type":"PostalAddress","addressLocality":"Haltern am See","postalCode":"45721","addressCountry":"DE"},"founder":{"@id":"https://alysly.com/#founder"},"sameAs":["https://www.linkedin.com/company/alyslycom/","https://www.youtube.com/@alyslycom","https://x.com/alyslycom"],"publishingPrinciples":"https://alysly.com/methodology/"},{"@type":"Person","@id":"https://alysly.com/#founder","name":"Alexander Bock","jobTitle":"Founder and data analyst","url":"https://alysly.com/about/","sameAs":["https://www.linkedin.com/in/abxk/"]},{"@type":"WebSite","@id":"https://alysly.com/#site","url":"https://alysly.com/","name":"Alysly","alternateName":"Alysly Investment Analysis","inLanguage":"en-US","publisher":{"@id":"https://alysly.com/#org"},"potentialAction":{"@type":"SearchAction","target":{"@type":"EntryPoint","urlTemplate":"https://alysly.com/markets/stocks/browse/?q={search_term_string}"},"query-input":"required name=search_term_string"}},{"@type":"WebPage","@id":"https://alysly.com/learn/data-and-bars/#webpage","url":"https://alysly.com/learn/data-and-bars/","name":"Data and Bars: The Sample Decides – Alysly","description":"Why fixed time intervals are a poor sample and how tick, volume and dollar bars even out the information density.","inLanguage":"en-US","isPartOf":{"@id":"https://alysly.com/#site"},"dateModified":"2026-11-01T18:26:04+01:00","publisher":{"@id":"https://alysly.com/#org"},"mainEntity":{"@id":"https://alysly.com/learn/data-and-bars/#entity"},"primaryImageOfPage":{"@type":"ImageObject","url":"https://alysly.com/img/ta/information-bars-og.7a11bb9c17ff6cd5a00e597a61583ff5c311263a37d8b63bc97a75f931d68679.png","width":1200,"height":630}}]},{"@context":"https://schema.org","@type":"BreadcrumbList","itemListElement":[{"@type":"ListItem","position":1,"name":"Investing & Trading Basics","item":"https://alysly.com/learn/"},{"@type":"ListItem","position":2,"name":"Data and Bars: The Sample Decides"}]},{"@context":"https://schema.org","@type":"Article","@id":"https://alysly.com/learn/data-and-bars/#entity","headline":"Data and Bars: The Sample Decides","description":"Why fixed time intervals are a poor sample and how tick, volume and dollar bars even out the information density.","inLanguage":"en-US","mainEntityOfPage":"https://alysly.com/learn/data-and-bars/","image":[{"@type":"ImageObject","height":630,"url":"https://alysly.com/img/ta/information-bars-og.7a11bb9c17ff6cd5a00e597a61583ff5c311263a37d8b63bc97a75f931d68679.png","width":1200},{"@type":"ImageObject","height":500,"url":"https://alysly.com/img/ta/information-bars.7f7936b7c99d678189c39a1fa94a5ee1384d94c8e27878bcece8797e4a8f1696.webp","width":1280}],"isPartOf":{"@type":"CreativeWorkSeries","name":"Investing & Trading Basics","url":"https://alysly.com/learn/"},"educationalLevel":"Level 3","author":{"@id":"https://alysly.com/#founder"},"publisher":{"@id":"https://alysly.com/#org"},"datePublished":"2026-08-02T15:54:51+02:00","dateModified":"2026-11-01T18:26:04+01:00"}],"notice":"© 2026 Alysly.com. Not investment advice. All data without guarantee. Financial information is analyzed and presented partly with AI assistance."}