[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

Viewing 15 posts - 31 through 45 (of 288 total)

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05/01/2018 at 4:18 PM #69582

robertogozzi

Will MTF allow using TIMRFRAME within IF…ENDIF?

IF one_condition THEN
   TIMEFRAME[4 hours]
   .
   .
ELSIF other_condition THEN
   TIMEFRAME[daily]
   .
   .
ELSE
  TIMEFRAME[default]
   .
   .
ENDIF

IF one_condition THEN

TIMEFRAME[4 hours]

ELSIF other_condition THEN

TIMEFRAME[daily]

ELSE

TIMEFRAME[default]

ENDIF

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05/01/2018 at 4:36 PM #69585

Nicolas

@robertogozzi

Sorry, I don’t understand your question 🙂 There are examples of how MTF strategy’s codes are looking in the first page.

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05/01/2018 at 4:52 PM #69592

robertogozzi

I have seen that.

It is important to use TIMEFRAME[] whenever you need to take advantage of different TFs other than default one.

No matter where in a strategy you are using it.

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05/01/2018 at 5:03 PM #69596

robertogozzi

Also, ONMARKET is true a the closing of the candle where it started, so if I open s trade in a 4-hour TF at, say, 14:00, will ONMARKET be true only after 18:00 or even before, say at 14:10 in a 10-minute TF?

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05/02/2018 at 12:10 PM #69636

Neo

Re: The closing of a higher TF candle in a lower TF graph…

Normally higher TF’s Candles close at minute=0 but sometimes, very rarely, they don’t and a 1H Candle in a 1M chart does not always have 60 bars so you can’t count the bars either.

Do you get any indication (event) when a higher TF Candle has closed in a lower TF graph?

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05/02/2018 at 12:22 PM #69639

robertogozzi

I do not care much about one candle more or less, in a MTF environment I would like to open a trade in 4-hour TF and not have to wait the next 4-hour candle to be able to detect whether I am OnMarket or not. It might be useful being able to detect OnMarket condition, say, on a 5-minute or 10-minute TF so I can take appropriate actions.

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05/02/2018 at 4:21 PM #69657

Nicolas

robertogozzi wrote:

even before, say at 14:10 in a 10-minute TF?

Yes!

Neo wrote:

Do you get any indication (event) when a higher TF Candle has closed in a lower TF graph?

With the new MTF instruction, you will have the capability to use the current Close of the default TF (the lower one) or the Close of the higher TF. So using the higher TF Close will always use the real candlestick Close, set by the platform/market.

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05/02/2018 at 10:44 PM #69673

Fr7

Will the monthly timeframe be available?
It would be very good if the monthly timeframe could be used in the systems and screeners………

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05/03/2018 at 8:27 AM #69683

Nicolas

Fr7 wrote:

Will the monthly timeframe be available?

Yes, all timeframes available in the platform will be available, even “3 weeks” or “2 months” ones. Like the way it is with ProOrder already.

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06/22/2018 at 1:11 PM #74080

Asedubelin

I would like to know if also EQUITYFRAME command will be available in the next release.

If not: is there any possibility to trigger one order automatically depending on “one other asset” price?

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06/22/2018 at 1:19 PM #74083

Nicolas

Asedubelin wrote:

I would like to know if also EQUITYFRAME command will be available in the next release.

Not in the future release due by the end of the summer, but maybe in the v11! (I’d really like to!).

Asedubelin wrote:

If not: is there any possibility to trigger one order automatically depending on “one other asset” price?

Unfortunately, no.

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07/01/2018 at 9:00 PM #75034

stefou102

Hello coming back to the question of availability of timeframe, will tick timeframe (so no time dependent) be supported by ProOrder?

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07/02/2018 at 7:38 AM #75051

Nicolas

stefou102 wrote:

will tick timeframe (so no time dependent) be supported by ProOrder?

Not planned for this version.

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07/03/2018 at 10:11 AM #75143

Nicolas

MTF support for ProBacktest and ProOrder should be available through paper trading via prorealtime software accounts on Wednesday (July 4th). This is a beta version.

To introduce the new feature, I decided to write a first synthetic article on the subject: First approach to multi timeframe trading with ProRealTime

6 users thanked author for this post.

Bel,

Pierre,

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Nicolas

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07/05/2018 at 7:47 AM #75253

Nicolas

I confirmed that MultiTimeframe programming with ProBackest is available with a PRT soft account since yesterday! Come on guys, a new day has arrived! Time to test this long awaited feature and give feedbacks! While this version is very stable, if you found any issue or have any questions, please don’t hesitate to post them below. Thanks.

More long to wait to try it in live automatic trading with IG or PRT sponsored accounts. In the meantime, you can develop and test your strategies with ProBacktests!

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