[beta-testing] multi timeframe support for automatic trading, ideas are welcome!
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It’s been a week since I tested, as a consultant, the new multi-timeframe features coming soon for ProBacktest / ProOrder.
I admit to being really pleasantly surprised by the capabilities of this long-awaited feature. Of course, I came across some small questions about its operation, which could be due to its unfinalized version or to my misinterpretation of its behavior with respect to various scenarios.
Because yes, indeed, to use several temporal dimensions require an intellectual gymnastics which can sometimes cause trouble in the developments. In short, we will have to deal with it, manage both the information of indicator data in higher timeframes, which have sometimes not yet been frozen by the closing of a candle and the management of our orders in consequence, which are managed by the Close the timeframe “default”, as is the case for example with the screeners.Same as ProScreener, this is the TIMEFRAME statement that will now be usable for automatic trading.
So far, I made various tests, I will show you how it goes (not so hard to understand for our fellow coders around here 🙂 ).
This is what a multitimeframe strategy code looks a like:
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This basic strategy uses:- A Simple Moving Average 100 periods from the 1 hour timeframe (at Close)
- Smoothed Heikin Ashi from a 15 minutes timeframe (in real time)
- Stochastic of the default timeframe (at Close)
- Takeprofit/Stoploss values from an ATR calculated in the 15 minutes TF
- Trading decisions and orders management in the default timeframe, which is the 5 minutes in this example
The GRAPH instruction is your new friend! 🙂
If you are interested, I will be able to test some codes that you want to post, or to share ideas that I can code myself. This will allow me to familiarize myself with the use of this new tool, but also why not, hunt for bugs, testing as many scenarios as possible.
July 25th EDIT: the MTF functionalities are now available through IG and PRT sponsored for demo accounts.
A short video made by PRT about the new engine and the MTF capabilities:
I also made a blog post to explain what you can expect and what you can now do with MTF: First approach to multi timeframe trading with ProRealTime
August 8th EDIT: documentation is updated, see here: TIMEFRAME (ProBacktest / ProOrder)
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Can you clarify exactly what is meant by ‘at close’ and ‘in real time’.
If the decisions are made at the close of the default timeframe five minute candle and ‘BARCLOSE’ is used on an hourly timeframe indicator then does it use the indicator results from the last closed hourly candle – and if it is set for ‘real time’ then does it take the current results of the still to close hourly candle?
2 users thanked author for this post.
Your assumption is right:
BarClose: we only work in closed bars.
‘real time’: The variables defined in the superior timeframe take into account each update of the main TF (the “default” one).2 users thanked author for this post.
Yes Roberto, this is the timeframe we all think about, if you want to interact quickly between bars. But, if your system only rely on indicators calculated on bar Close (which is the case in 99%) and your program doesn’t embed any orders management other than a fixed StopLoss and TakeProfit, maybe a 1 minute timeframe is enough.
I’m thinking also of the 200k bars limitations for backtests, that from what I know, will not be extended.
1 user thanked author for this post.
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