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

Nicolas · Mon, 19 Mar 2018 15:27:01 +0000

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: [crayon-5b6ab8ffd8f94649362271/] 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)

This topic has 287 replies, 47 voices, and was last updated 4 years ago by Brianoshea.

Tagged: mtf, multitimeframe

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08/29/2018 at 10:19 PM #79329

robertogozzi

Keep them, they won’t take much ram space!

At least until they recognize that IGNORED is a reserved word, not a variable!

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08/29/2018 at 10:31 PM #79330

AlgoAlex

Roberto, look again at my picture:

The system doesn’t allow the word “ignored” more than one time, because it sees it as a variable!

It won’t run.

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08/29/2018 at 10:41 PM #79334

robertogozzi

That’s why I suggested that you keep the complete set of variable names, even if you don’t need some of them, at least until they correct the bug, they won’t take much space in your PC’s ram!

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08/29/2018 at 10:54 PM #79336

AlgoAlex

But if I keep all variables, I have to use them all!! Or am I wrong?

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08/29/2018 at 11:08 PM #79340

robertogozzi

If you have X and Y unused, but need to keep them, you can use a dummy IF…ENDIF:

IF x AND y THEN //no action
ENDIF

1 2	IF x AND y THEN //no action ENDIF

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Bel,

Pepsmile,

AlgoAlex

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09/04/2018 at 10:13 AM #79715

Pepsmile

For future eventual use of variables I used something like :

X = X

Y = Y

But your suggestion is more efficient because it doesn’t use memory ressources by assigning useless values.

Thx Roberto

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robertogozzi

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09/15/2018 at 2:35 PM #80575

robertogozzi

In this scenario, will:

OnMarket be updated every minute despite it is tested within the 1-hour TF?
more than one trade be opened within the same 1-hour candle if the first one is entered and exited in a few of minutes, since all conditions still apply and code is read every minute (but conditions updated on close)?

TIMEFRAME (1 hour,updateonclose)
IF close > average[20](close) AND Not OnMarket THEN
   BUY 1 CONTRACT AT MARKET
   SET TARGET pPROFIT 20
   SET STOP   pLOSS   20
ENDIF
//
TIMEFRAME (default)                  //run from a 1-minute chart
//  trailing stop code here

TIMEFRAME (1 hour,updateonclose)

IF close > average[20](close) AND Not OnMarket THEN

BUY 1 CONTRACT AT MARKET

SET TARGET pPROFIT 20

SET STOP pLOSS 20

ENDIF

TIMEFRAME (default) //run from a 1-minute chart

// trailing stop code here

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09/18/2018 at 9:41 PM #80818

robertogozzi

I suggest the implementation of the keyword SKIPTIMEFRAME or BREAKTIMEFRAME, similar to BREAK, to skip to the next TF in the code or to the end:

TIMRFRAME (daily,updateonclose)
   .
   .
TIMRFRAME (1 hour,updateonclose)
   .
IF MyConditions THEN
   SkipTimeFrame           //resume at the beginning of the following TF, if any
ENDIF
   .
TIMEFRAME (default)
   .
   .

TIMRFRAME (daily,updateonclose)

TIMRFRAME (1 hour,updateonclose)

IF MyConditions THEN

SkipTimeFrame //resume at the beginning of the following TF, if any

ENDIF

TIMEFRAME (default)

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09/18/2018 at 9:44 PM #80819

robertogozzi

Does MTF support the use od the same TF more than once with different behaviours:

TIMEFRAME (Daily,updateonclose)
   .
   .
TIMEFRAME (Daily,default)
   .
   .
TIMEFRAME (1 hour,updateonclose)
   .
   .
TIMEFRAME (default)

TIMEFRAME (Daily,updateonclose)

TIMEFRAME (Daily,default)

TIMEFRAME (1 hour,updateonclose)

TIMEFRAME (default)

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09/19/2018 at 8:56 AM #80838

Nicolas

Yes it works. In the attached picture you clearly see the use of the daily timeframe 2 times: a and b variables are calculated differently.

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Bel,

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10/02/2018 at 3:14 PM #81769

Jan

Hallo all,

interesting discussions all above, I will certainly test MTF in my future strategies.

I have 2 very basic questions:

If I let turn on the MTF-possibility in my real IG-account, would it have effect on my existing trading strategies ? (given the obvious fact that I do not change those existing strategies with new MTF-code). Any bugs known when turn the MTF possibility on, but not using any MTF code in the strategies? I would think that it would not have any impact, but please give me your thoughts.
Already any testresults known of the Walk forward analysis in combination with Multiple Time Frame code, no bugs known sofar, it works as expected ?

Thanks in advance, KR Jan

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10/02/2018 at 3:46 PM #81777

Nicolas

I’m not with IG, but I know that many users asked them to turn the MTF on their accounts. By reading all the topics of the forums, I have no feeling that it has changed the way the “old” strategies should have behaves without it.

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10/03/2018 at 7:13 PM #81864

Gianluca

I am using strategies in real account with MTF and old strategies, nothing changes with those

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10/04/2018 at 1:15 AM #81875

robertogozzi

MTF simply applied to old strategies won’t be beneficial (maybe just for trailing stops, but not always). You have to write a strategy suited for MTF!

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10/04/2018 at 7:32 AM #81880

Vonasi

robertogozzi wrote:

MTF simply applied to old strategies won’t be beneficial (maybe just for trailing stops, but not always). You have to write a strategy suited for MTF!

I think Gianluca is just pointing out that his old strategies have not been effected in any way by now having MTF available on his platform/account – which is what Jan Wind wanted to know with his first question.

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