[beta-testing] multi timeframe support for automatic trading, ideas are welcome!

• 07/31/2018 at 9:36 AM #77140
  GraHal

  Both of my MTF Systems have been rejected with the error message attached.

  I have sent in a Technical Report. Anybody else getting this?

  

  GraHal

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  08/01/2018 at 4:03 PM #77348
  Maria PRT

  Hello Grahal,

  I hope you’re doing well.

  This was due to a technical issue which has been corrected yesterday.

  Please re-start your strategies.

   

  Best regards,

  Maria

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  GraHal

  

  Maria PRT

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  08/01/2018 at 4:12 PM #77352
  robertogozzi

  Great to hear that a report has been dealt with, even better when the outcome is successful!

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  GraHal

  

  robertogozzi

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  08/03/2018 at 4:19 PM #77486
  RIBO

  Hello,
  I want to code in multi timframe. 3 UT = 15 minutes and 5 minutes to confirm the trend and 1 minute to take a position.
  example AT SALE
  The system is simple if in M15 and M5: the MM100, the MM200, the MM600 and the MM100 + the daily pivot point are below the price.
  In 1 MINUTE the same conditions + the stochastic crosses down the 80.
  However, I have error messages in my coding. Prorelatime does not know the variables “MM1000” and “downtrend”.
  Thanks for your help.

  ICT

  // PAS Cumul des positions désactivé defparam cumulateorders=false // Nbre d'unité à acheté n=1 MM100 = average[100,1] MM200= average [200,1] MM600= average [600,1] sto = Stochastic[11,5] PPJ= DHigh(1)+ DLow(1)+ Dopen(1) //Point pivot journalier // VENTE //time frame 15 minutes TIMEFRAME( 15 minutes, updateonclose) downtrend = SHORTONMARKET <mm100 AND shortonmarket <mm200 and shortonmarket <mm600 and shortonmarket < ppj bulltrend= SHORTONMARKET >mm100 AND shortonmarket >mm200 and shortonmarket >mm600 and shortonmarket > ppj //time frame 5 minutes TIMEFRAME( 5 minutes, updateonclose) downtrend = SHORTONMARKET <mm100 AND shortonmarket <mm200 and shortonmarket <mm600 and shortonmarket < ppj bulltrend= SHORTONMARKET >mm100 AND shortonmarket >mm200 and shortonmarket >mm600 and shortonmarket > ppj //time frame 1 minutes prise de position // VENTE TIMEFRAME( default) if downtrend and SHORTONMARKET <mm100 AND shortonmarket <mm200 and shortonmarket <mm600 and shortonmarket < ppj and sto CROSSES UNDER 80 then sellshort n shares at market endif // SORTIE VENTE if sto CROSSES OVER 20 then exitshort at market endif // ACHAT TIMEFRAME( default) if bulltrend and SHORTONMARKET >mm100 AND shortonmarket >mm200 and shortonmarket >mm600 and shortonmarket > ppj and sto CROSSES over 20 then buy n shares at market endif // SORTIE ACHAT if sto CROSSES UNDER 80 then SELL at market endiF

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  // PAS Cumul des positions désactivé defparam cumulateorders=false   // Nbre d'unité à acheté n=1   MM100 = average[100,1] MM200= average [200,1] MM600= average [600,1]   sto = Stochastic[11,5] PPJ= DHigh(1)+ DLow(1)+ Dopen(1) //Point pivot journalier     // VENTE //time frame 15 minutes TIMEFRAME( 15 minutes, updateonclose) downtrend = SHORTONMARKET <mm100 AND shortonmarket <mm200 and shortonmarket <mm600 and shortonmarket < ppj bulltrend= SHORTONMARKET >mm100 AND shortonmarket >mm200 and shortonmarket >mm600 and shortonmarket > ppj     //time frame 5 minutes TIMEFRAME( 5 minutes, updateonclose) downtrend = SHORTONMARKET <mm100 AND shortonmarket <mm200 and shortonmarket <mm600 and shortonmarket < ppj bulltrend= SHORTONMARKET >mm100 AND shortonmarket >mm200 and shortonmarket >mm600 and shortonmarket > ppj   //time frame 1 minutes prise de position   // VENTE TIMEFRAME( default) if downtrend and SHORTONMARKET <mm100 AND shortonmarket <mm200 and shortonmarket <mm600 and shortonmarket < ppj and sto CROSSES UNDER 80 then sellshort n shares at market endif   // SORTIE VENTE if sto CROSSES OVER 20 then exitshort at market endif   // ACHAT TIMEFRAME( default) if bulltrend and SHORTONMARKET >mm100 AND shortonmarket >mm200 and shortonmarket >mm600 and shortonmarket > ppj and sto CROSSES over 20 then buy n shares at market endif   // SORTIE ACHAT if sto CROSSES UNDER 80 then SELL at market endiF

   

  

  RIBO

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  08/03/2018 at 4:53 PM #77494
  Vonasi

  SHORTONMARKET cannot be used how you have used it – are you trying to say:

  close < MM200

  1	close < MM200

  SHORTONMARKET is a condition. If you have a short trade open then SHORTONMARKET = true otherwise it equals false.

  

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  08/05/2018 at 1:45 AM #77565
  Abz

  if you are using a 30 min or 15 min strategy and want to check the trailing stop on a 1 min basis , how to do that?

   

  ////trailing stop function TIMEFRAME(1minutes) trailingstart = 2 //trailing will start @trailinstart points profit 25 trailingstep = 1 //trailing step to move the "stoploss" 30 21 & 9 slDistance = 0.6 // <--- to compensate for SL distance reqs emposed by the dealer. //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //anage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize+slDistance THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions TIMEFRAME(1minutes) IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize+slDistance THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions TIMEFRAME(1minutes) IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF set stop ploss 5

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  ////trailing stop function TIMEFRAME(1minutes) trailingstart = 2 //trailing will start @trailinstart points profit 25 trailingstep = 1 //trailing step to move the "stoploss" 30 21 & 9 slDistance = 0.6 // <--- to compensate for SL distance reqs emposed by the dealer. //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //anage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize+slDistance THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions TIMEFRAME(1minutes) IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize+slDistance THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions TIMEFRAME(1minutes) IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF     set stop ploss 5

   

  

  Abz

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  08/05/2018 at 5:49 AM #77568
  robertogozzi

  You are doing right, provided your current chart is set on the lowest TF you are using and all TF’s are multiple of the lowest one.

  Lines 25 and 38 are not necessary; you need to write the keyword TIMEFRAME only when you want to use a different one from the previous.

  

  robertogozzi

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  08/05/2018 at 8:46 AM #77569
  Vonasi

  This is how it should look – and then run your strategy on a 1 minute chart. If decisions are made further up in the code on conditions and values found on slower time frame charts such as the 15 and 5 that you mention then the code for those will need to be put under TIMEFRAME(15 minutes,default) etc (or updateonclose instead of default if you want on the fly values/conditions).

  ////trailing stop function TIMEFRAME(default) trailingstart = 2 //trailing will start @trailinstart points profit 25 trailingstep = 1 //trailing step to move the "stoploss" 30 21 & 9 slDistance = 0.6 // <--- to compensate for SL distance reqs emposed by the dealer. //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //anage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize+slDistance THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize+slDistance THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF set stop ploss 5

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  ////trailing stop function TIMEFRAME(default) trailingstart = 2 //trailing will start @trailinstart points profit 25 trailingstep = 1 //trailing step to move the "stoploss" 30 21 & 9 slDistance = 0.6 // <--- to compensate for SL distance reqs emposed by the dealer. //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //anage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize+slDistance THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize+slDistance THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF set stop ploss 5

   

  

  Vonasi

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  08/05/2018 at 11:10 AM #77571
  Abz

  ok thanks for info , but then the backtest Would be on very little data  when setting the chart to 1 min.

  

  Abz

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  08/05/2018 at 11:42 AM #77573
  robertogozzi

  Yes, the lower the TF used, the less data history you have!

  

  robertogozzi

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  08/05/2018 at 11:55 AM #77574
  robertogozzi

  I suggest using sort of a template like this:

  TIMEFRAME (Daily, updateonclose) //your daily conditions TIMEFRAME (4 hours, updateonclose) //your 4-hour conditions TIMEFRAME (1 hour, updateonclose) //your 1-hour conditions TIMEFRAME (default) //your code to Enter/Exit trades //your stop loss code

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  TIMEFRAME (Daily, updateonclose)      //your daily conditions TIMEFRAME (4 hours, updateonclose)      //your 4-hour conditions TIMEFRAME (1 hour, updateonclose)      //your 1-hour conditions TIMEFRAME (default)      //your code to Enter/Exit trades      //your stop loss code

  you develop and probacktest your strategy on a 1-hour TF, thus granting you more data. When you are ready to launch it, switch to a 1-minute chart and run it without backtesting (you could backtest it, but results would be much different!).

  This way you do not need to change your code, since ProOrder will assign the current TF on the chart to DEFAULT timeframe, initially 1 hour to develop it, then 30 minutes, 1 minute or whatever (provided all TFs used are a multiple of the lowest one, you wouldn’t be allow, say 25 or 7 minutes).

   

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  Bel, Meta Signals Pro, Abz, Nicolas, Berra

  

  robertogozzi

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  08/08/2018 at 10:33 AM #77756
  Nicolas

  Just updated the documentation with the new automatic trading specific TIMEFRAME instruction: TIMEFRAME (ProBacktest / ProOrder)

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  Meta Signals Pro, Andyswede

  

  Nicolas

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  08/08/2018 at 2:05 PM #77769
  Gianluca

  Hello, is it possible to use the Multiframe to manage the trailing stop code?

  

  Gianluca

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  08/08/2018 at 2:10 PM #77770
  Nicolas

  Yes of course. Just like the example I made in the documentation TIMEFRAME (ProBacktest / ProOrder) with a 1 hour strategy but with a position management made in the 1 minute timeframe.

   

  

  Nicolas

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  08/08/2018 at 2:14 PM #77772
  robertogozzi

  Yes, take a look at:

  https://www.prorealcode.com/topic/betatesting-multitimeframe-support-automatic-trading/page/10/#post-77569

  https://www.prorealcode.com/topic/betatesting-multitimeframe-support-automatic-trading/page/10/#post-77574

   

  

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