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

• 08/24/2018 at 12:19 PM #78933
  Gianluca

  Vonasi wrote:

  et

  No, i tried both, still different.

  If I am forced to use lower time frames to manage a trade on a higher timeframe, the result is totally different. So it means that something is not right.

   

  

  Gianluca

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  08/24/2018 at 12:46 PM #78938
  Vonasi

  I think it is because you are trying to buy and sell with those instructions in the 4 hour timeframe when with MTF you should be buying and selling in the default time frame. That is just a poorly educated guess though.

  

  Vonasi

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  08/24/2018 at 10:54 PM #79030
  LorenzoM

  Hello to everybody!
  I have two questions that I would like to clarify; maybe they have already been asked, but I cannot find them.

  In a multi timeframe scenario, something like that

   

  if ((not onmarket) and (onmarket<strong>[1]</strong>) then // do something if the strategy has just exited from the market endif

  1 2 3

  if ((not onmarket) and (onmarket<strong>[1]</strong>) then // do something if the strategy has just exited from the market endif

  [1] what does it refer to? to the default TF?

  And in something like

  timeframe (5 minutes, updateonclose) MA20 = average [20] bulltrend = summation [3] (MA20> MA20 [1]) = 3 // "default" timeframe (the timeframe you will launch the strategy on) timeframe (default) ... if (MA20 <MA20<strong>[1]</strong>) then // do something if MA20 is decreasing endif

  1 2 3 4 5 6 7 8 9 10 11

  timeframe (5 minutes, updateonclose) MA20 = average [20] bulltrend = summation [3] (MA20> MA20 [1]) = 3   // "default" timeframe (the timeframe you will launch the strategy on) timeframe (default) ...   if (MA20 <MA20<strong>[1]</strong>) then // do something if MA20 is decreasing endif

  [1] is referred to the value of MA20 in the TF bar 5 minutes before?

  Thanks,
  Lorenzo

  

  LorenzoM

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  08/25/2018 at 5:32 AM #79031
  robertogozzi

  1) it does not involve TFs, it simply checks whether a trade has just been closed, though you usually use this for in the lowest TF.

  2) yes.

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  robertogozzi

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  08/25/2018 at 8:40 AM #79034
  GraHal

  LorenzoM wrote:

  but I cannot find them.

  This may help?

  https://www.prorealcode.com/blog/learning/approach-multi-timeframe-trading-prorealtime/

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  GraHal

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  08/26/2018 at 10:45 AM #79100
  Gianluca

  Vonasi wrote:

  I think it is because you are trying to buy and sell with those instructions in the 4 hour timeframe when with MTF you should be buying and selling in the default time frame. That is just a poorly educated guess though.

  i think that is the reason, but if is like this MTF is useless to use in Trailing stop code, and no so Revolutionary as said for the TF, in fact i think that one of the big problems of PRT is the use of the Trailing Stop function specially with Big TF, in fact if the funcion #trailingstop makes the results of the backtesting unreliable, a big improve should be using MultiFrame even for smaller periods even if the strategy is for a big periods.

  If the MTF remains like now, with the only possibility to use MTF starting for a small periods, thats will be not a big improve.

  And also, if i use a strategy originally made with the 4hr TF, starting from a lower TF but with the command Timeframe4hr, results should be the same, not differents.

  

  Gianluca

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  08/26/2018 at 11:51 AM #79104
  Nicolas

  Vonasi wrote:

  I think it is because you are trying to buy and sell with those instructions in the 4 hour timeframe when with MTF you should be buying and selling in the default time frame.

  That’s wrong. In this example, the strategy is buying on a 15-minute timeframe and the orders are managed in a lower TF: Partial closure of positions when price is retracing

  Gianluca wrote:

  a big improve should be using MultiFrame even for smaller periods even if the strategy is for a big periods.

  That’s possible, why not using one of the trailing code functions available on the website, like the way I did in the article above?

  Gianluca wrote:

  If the MTF remains like now, with the only possibility to use MTF starting for a small periods, thats will be not a big improve.

  That’s obvious that if you are using a lower timeframe to manage your orders, the ‘starting’ TF is the smallest one. But I deplore the fact that the history is limited to this one though..

  Gianluca wrote:

  if i use a strategy originally made with the 4hr TF, starting from a lower TF but with the command Timeframe4hr, results should be the same, not differents.

  If the whole code of the strategy is embedded in the timeframe(4 hours, updateonclose), results should be the same (example attached below).

  

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  08/26/2018 at 1:25 PM #79109
  robertogozzi

  When your strategy works as expected on a 4-h TF, with your trailing stop code embedded in the default TF, you can detect any benefit from MTF just:

  • Backtest it from a 4-hour TF using the max time interval allowed for 1-minute chart
  • Bscktest it from a 1-minute chart

  if this shows benefits, then keep your strategy MTF for the trailing code, otherwise do not!

  If you use MTF for your 4-hour strategy to run trailing stop code in a 30-minute TF you’ll never have benefits, because in 30 minutes prices can move so many pips, especially Dax and EurUsd.

  MTF should be used if:

  • you want to test indicators in more than one TF
  • you want to make your trailing stop code more responsive
  • you want both

   

   

   

   

   

  

  robertogozzi

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  08/29/2018 at 3:22 PM #79299
  AlgoAlex

  I’m trying a mtf  code in demo live, and I wanna share with you how I am unable to see errors in opening trades…

  This is the code:

  //------------------------------------------------------------------------- // Codice principale : RSIOMA MTF DAX 30M //------------------------------------------------------------------------- defparam preloadbars=10000 defparam cumulateorders=true myRSIoMA, myLevelUp, myLevelDown, mymedlevel = CALL "PRC_RSIoMA extended"[14, 21, 1, 50, 80, 20](close) TIMEFRAME (Daily, updateonclose) //your daily conditions dlong=myRSIoMA>myRSIoMA[1] dshort=myRSIoMA<myRSIoMA[1] TIMEFRAME (4 hours, updateonclose) //your 4-hour conditions h4long=myRSIoMA>mymedlevel h4short=myRSIoMA<mymedlevel TIMEFRAME (1 hour, updateonclose) //your 1-hour conditions h1long=myRSIoMA>myLevelUp h1short=myRSIoMA<myLevelDown myST=Supertrend[3,10] TIMEFRAME (default) //your code to Enter/Exit trades //your stop loss code entrylong=myRSIoMA crosses over mylevelup entryshort=myRSIoMA crosses under myleveldown if dlong and h4long and h1long and entrylong then buy 1 contracts at market endif if dshort and h4short and h1short and entryshort then sellshort 1 contracts at market endif if longonmarket and close crosses under myST or myRSIOMA crosses under mylevelup then sell at market endif if shortonmarket and close crosses over myST or myRSIOMA crosses over myleveldown then exitshort at market endif ///breakeven startBreakeven = 50 //how much pips/points in gain to activate the breakeven function? PointsToKeep = 5 //how much pips/points to keep in profit above of below our entry price when the breakeven is activated (beware of spread) //reset the breakevenLevel when no trade are on market IF NOT ONMARKET THEN breakevenLevel=0 ENDIF // --- BUY SIDE --- //test if the price have moved favourably of "startBreakeven" points already IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN SELL AT breakevenLevel STOP ENDIF // --- end of BUY SIDE --- //sell side IF SHORTONMARKET AND tradeprice(1)-close>startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)-PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN EXITSHORT AT breakevenLevel STOP ENDIF //stoploss for long position If longonmarket then //calculate the long stoploss (difference between the open price of the trade and the lowest low) Slong = Tradeprice-Lowest [15](low) Set stop loss Slong Endif //stoploss for short position if shortonmarket then //calculate the short order stoploss (difference between the open price of the trade and the highest high) Sshort = Highest [10](high) - Tradeprice Set stop loss Sshort Endif set target pprofit 100 //------------------------------------------------------------------------- // Funzione : PRC_RSIoMA extended //------------------------------------------------------------------------- //PRC_RSIoMA extended | indicator //27.08.2018 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge //converted from MT5 version // --- settings //RsiPeriod = 14 // Rsi period //PriceSmoothing = 21 // Price smoothing (<= 1 for no smoothing) //PriceSmoothingM = 1 // Price smoothing method (MA mode) //MinMaxPeriod = 50 // Floating levels period (<= 1 for fixed levels) //LevelUp = 80.0 // Up level % //LevelDown = 20.0 // Down level % // --- end of settings RsiPrice = customclose // Price to use n=max(1,PriceSmoothing) ma=average[n,PriceSmoothingM](RsiPrice) rsioma=rsi[RsiPeriod](ma) //levels mmin = rsioma mmax = rsioma for k=1 to MinMaxPeriod-1 do mmin=min(rsioma[k],mmin) mmax=max(rsioma[k],mmax) next rrange = mmax-mmin levelupz = mmin+LevelUp * rrange/100 leveldnz = mmin+LevelDown * rrange/100 levelmi = mmin+0.5*rrange //colours r=192 g=192 b=192 if rsioma>levelupz then r=50 g=205 b=50 elsif rsioma<leveldnz then r=255 g=165 b=0 endif slope=rsioma-rsioma[1] long=slope crosses over 0 and rsioma<levelupz short=slope crosses under 0 and rsioma>levelupz if long then drawarrowup(rsioma,low) coloured(0,255,0) endif if short then drawarrowdown(rsioma,high) coloured(255,0,0) endif return rsioma coloured(r,g,b) style(line,3) as "RSIoMA",levelupz coloured(50,205,50) style(dottedline,2) as "Level Up", leveldnz coloured(255,165,0) style(dottedline,2) as "Level Down", levelmi coloured(155,155,155) style(dottedline,2) as "mid level"

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160

  //------------------------------------------------------------------------- // Codice principale : RSIOMA MTF DAX 30M //------------------------------------------------------------------------- defparam preloadbars=10000 defparam cumulateorders=true myRSIoMA, myLevelUp, myLevelDown, mymedlevel = CALL "PRC_RSIoMA extended"[14, 21, 1, 50, 80, 20](close)   TIMEFRAME (Daily, updateonclose) //your daily conditions dlong=myRSIoMA>myRSIoMA[1] dshort=myRSIoMA<myRSIoMA[1] TIMEFRAME (4 hours, updateonclose) //your 4-hour conditions   h4long=myRSIoMA>mymedlevel h4short=myRSIoMA<mymedlevel   TIMEFRAME (1 hour, updateonclose) //your 1-hour conditions   h1long=myRSIoMA>myLevelUp h1short=myRSIoMA<myLevelDown myST=Supertrend[3,10] TIMEFRAME (default) //your code to Enter/Exit trades //your stop loss code   entrylong=myRSIoMA crosses over mylevelup entryshort=myRSIoMA crosses under myleveldown   if dlong and h4long and h1long and entrylong then buy 1 contracts at market endif   if dshort and h4short and h1short and entryshort then sellshort 1 contracts at market endif   if longonmarket and close crosses under myST or myRSIOMA crosses under mylevelup then sell at market endif   if shortonmarket and close crosses over myST or myRSIOMA crosses over myleveldown then exitshort at market endif ///breakeven startBreakeven = 50 //how much pips/points in gain to activate the breakeven function? PointsToKeep = 5 //how much pips/points to keep in profit above of below our entry price when the breakeven is activated (beware of spread) //reset the breakevenLevel when no trade are on market IF NOT ONMARKET THEN breakevenLevel=0 ENDIF // --- BUY SIDE --- //test if the price have moved favourably of "startBreakeven" points already IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN SELL AT breakevenLevel STOP ENDIF // --- end of BUY SIDE ---   //sell side IF SHORTONMARKET AND tradeprice(1)-close>startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)-PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN EXITSHORT AT breakevenLevel STOP ENDIF   //stoploss for long position If longonmarket then //calculate the long stoploss (difference between the open price of the trade and the lowest low) Slong = Tradeprice-Lowest [15](low) Set stop loss Slong Endif //stoploss for short position if shortonmarket then //calculate the short order stoploss (difference between the open price of the trade and the highest high) Sshort = Highest [10](high) - Tradeprice Set stop loss Sshort Endif     set target pprofit 100     //------------------------------------------------------------------------- // Funzione : PRC_RSIoMA extended //------------------------------------------------------------------------- //PRC_RSIoMA extended | indicator //27.08.2018 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge //converted from MT5 version   // --- settings //RsiPeriod = 14 // Rsi period //PriceSmoothing  = 21 // Price smoothing (<= 1 for no smoothing) //PriceSmoothingM = 1 // Price smoothing method (MA mode) //MinMaxPeriod    = 50 // Floating levels period (<= 1 for fixed levels) //LevelUp         = 80.0 // Up level % //LevelDown       = 20.0 // Down level % // --- end of settings   RsiPrice = customclose   // Price to use n=max(1,PriceSmoothing) ma=average[n,PriceSmoothingM](RsiPrice) rsioma=rsi[RsiPeriod](ma)   //levels mmin = rsioma mmax = rsioma for k=1 to MinMaxPeriod-1 do mmin=min(rsioma[k],mmin) mmax=max(rsioma[k],mmax) next rrange = mmax-mmin levelupz = mmin+LevelUp * rrange/100 leveldnz = mmin+LevelDown * rrange/100 levelmi = mmin+0.5*rrange   //colours r=192 g=192 b=192 if rsioma>levelupz then r=50 g=205 b=50 elsif rsioma<leveldnz then r=255 g=165 b=0 endif   slope=rsioma-rsioma[1]   long=slope crosses over 0 and rsioma<levelupz   short=slope crosses under 0 and rsioma>levelupz   if long then drawarrowup(rsioma,low) coloured(0,255,0) endif   if short then drawarrowdown(rsioma,high) coloured(255,0,0) endif   return rsioma coloured(r,g,b) style(line,3) as "RSIoMA",levelupz coloured(50,205,50) style(dottedline,2) as "Level Up", leveldnz coloured(255,165,0) style(dottedline,2) as "Level Down", levelmi coloured(155,155,155) style(dottedline,2) as "mid level"

  And this is a screenshot from actual live trades:

  

  As you can see, the need for having superior tfs above upperlevel (green zones) and crossing up of base tf (30m) are not respected.

  Why?

  

  AlgoAlex

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  08/29/2018 at 4:24 PM #79301
  robertogozzi

  Line 6 assigns values to variables based on PRC_RSIoMA extended called from the deafult (lower, I guess) TF.

  Lines 10-11, 15-16 and 21-22 reflect this behaviour, rather than referencing an indicator for their own TF. You should move line 6 to the beginning of each TF using different variable names:

  timeframe (daily,updateonclose) MyAvgD = close > average[20](close) timeframe (4 hours,updateonclose) MyAvgH4 = close > average[20](close) timeframe (1 hours,updateonclose) CrossingUP = average[5](close) CROSSES OVER average[20](close) timeframe (default) IF MyAvgD AND MyAvgH4 AND CrossingUP THEN BUY..... ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13

  timeframe (daily,updateonclose) MyAvgD = close > average[20](close)   timeframe (4 hours,updateonclose) MyAvgH4 = close > average[20](close)   timeframe (1 hours,updateonclose) CrossingUP = average[5](close) CROSSES OVER average[20](close)   timeframe (default) IF MyAvgD AND MyAvgH4 AND CrossingUP THEN    BUY..... ENDIF

   

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  Bel, Nicolas

  

  robertogozzi

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  08/29/2018 at 4:24 PM #79302
  Nicolas

  Your indicator is declared and calculated in the ‘default’ timeframe and not in any other one. So, even if you are testing above/below levels in other TF, the code will always use the same indicator values.

  EDIT: Faster than me Roberto! and with a more precise answer! 😉

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  Nicolas

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  08/29/2018 at 5:48 PM #79304
  AlgoAlex

  Ok,

  so I have to declare the Rsioma in each timeframes with different names.

  I will try and let you know.

  

  AlgoAlex

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  08/29/2018 at 9:17 PM #79318
  AlgoAlex

  Now what?

  It says I cannot use the same variables in different timeframes.

  So what should I do to exclude a variable from different tfs?

  I tried “ignored2” but it doesn’t work out.

   

  

  

  AlgoAlex

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  08/29/2018 at 9:56 PM #79324
  robertogozzi

  You should use

  myRSIoMAD, myLevelUpD, myLevelDownD, mymedleveD = CALL "PRC_RSIoMA extended"[14, 21, 1, 50, 80, 20](close)

  1	myRSIoMAD, myLevelUpD, myLevelDownD, mymedleveD = CALL "PRC_RSIoMA extended"[14, 21, 1, 50, 80, 20](close)

  for the DAILY TF and

  myRSIoMA1H, myLevelUp1H, myLevelDown1H, mymedlevel1H = CALL "PRC_RSIoMA extended"[14, 21, 1, 50, 80, 20](close)

  1	myRSIoMA1H, myLevelUp1H, myLevelDown1H, mymedlevel1H = CALL "PRC_RSIoMA extended"[14, 21, 1, 50, 80, 20](close)

  for the 1-hour TF.

   

   

  

  robertogozzi

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  08/29/2018 at 10:10 PM #79326
  AlgoAlex

  That was clear to me.

  My question is: how can I exclude “myLevelDownD” from daily and “mymedlevel1H ” from h1? If I use “ignore” for both it gives me error like my screenshot.

  

  AlgoAlex

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