[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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07/05/2018 at 8:47 AM #75261

Vonasi

Thanks for clarifying that Nicolas. I was wondering why I did not have MTF yet and I did not realise that it is in beta testing only on PRT end of day or free trial accounts opened directly with PRT.

I have just opened a new account (needed yet another email address!) so that I can now test out this long awaited feature.

Vonasi

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07/05/2018 at 11:08 AM #75282

Vonasi

My first thoughts on MTF – fantastic so far!

Only being able to test it on an end of day account at the moment is a little bit limiting but we can get an idea of how powerful this will be and the opportunities it opens up.

The use of the GRAPH function is going to be very important in our ability to understand and develop ideas so it is a pity that you have to have at least one BUY or SELL instruction within the code to be able to run it otherwise you get this message.

So you then have to put a BUY or SELL in to get it to work and then you find the strategy runs out of money so you have to increase the start capital, but it is still not enough so then you have to try to create a basic strategy that does not run out of money – all a bit of a faff really.

I think it would be better to do away with the demand for at least one BUY and SELL and just let the strategy run if there is a GRAPH instruction in it. So what if it does not open a trade?

The perfect solution is the use of TIMEFRAME in indicator creation in ProBuilder but just doing away with the need for a BUY or SELL so that we can graph easily would do for now.

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07/05/2018 at 11:30 AM #75286

Vonasi

The correct use of DEFAULT or UPDATEONCLOSE is going to critical within our strategies. I made this simple test and graphed the results to compare with UPDATEONCLOSE and DEFAULT.

//12 month average
timeframe(monthly, default)
ma1 = average[12,1]

//52 week average
timeframe(weekly, default)
ma2 = average[52,1]

//300 day average
timeframe(default)
ma3 = average[300,1]

//12 month average

timeframe(monthly, default)

ma1 = average[12,1]

//52 week average

timeframe(weekly, default)

ma2 = average[52,1]

//300 day average

timeframe(default)

ma3 = average[300,1]

With DEFAULT:

and with UPDATEONCLOSE:

If you were using the MA’s being stacked in the correct order as a filter then UPDATEONCLOSE would have you kept off the market in the latter part of each month.

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07/05/2018 at 11:32 AM #75290

Cris48

Dear Nicolas, do you know for when is scheduled the MTF with IG demo accounts?

Thank you very much.

Cristiano

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07/05/2018 at 11:41 AM #75292

Nicolas

@Vonasi

About GRAPH indicators and no orders, you just have to set a fake condition to avoid any order to be launched at market, just like the way I did in the example of the blog article:

defparam cumulateorders=false


//daily SMA
timeframe(daily)
smad20 = average[20]

timeframe(15 minutes,updateonclose)
bollup = BollingerUp[20](close)
bolldn = BollingerDown[20](close)

//5 minutes SMA 
timeframe(default)
sma20 = average[20]
sma50 = average[50]
//dummy order condition
if sma20=-100 then
 buy at market
endif 

graph close as "price"
graph smad20 coloured(0,0,255)
graph bollup coloured(100,100,100)
graph bolldn coloured(100,100,100)
graph sma20 coloured(0,255,0)
graph sma50 coloured(255,0,0)

defparam cumulateorders=false

//daily SMA

timeframe(daily)

smad20 = average[20]

timeframe(15 minutes,updateonclose)

bollup = BollingerUp[20](close)

bolldn = BollingerDown[20](close)

//5 minutes SMA

timeframe(default)

sma20 = average[20]

sma50 = average[50]

//dummy order condition

if sma20=-100 then

buy at market

endif

graph close as "price"

graph smad20 coloured(0,0,255)

graph bollup coloured(100,100,100)

graph bolldn coloured(100,100,100)

graph sma20 coloured(0,255,0)

graph sma50 coloured(255,0,0)

Obviously, the sma20 variable will never be equal to -100 🙂

You are absolutely right about the mode selection (UpdateOnClose or default), that’s why I warned people in the same article.

@Cris48

If the feature is in Beta testing with the software version, it smells good to get it with associated brokers within some weeks. Beta testing period with a wide range of codes is necessary before pushing it into real live trading. In the meantime, everyone is free to open a free EOD account with ProRealTime software and benefit of the new multi-timeframe support for automatic trading. So what are you waiting for? 😉

2 users thanked author for this post.

Cris48,

Vonasi

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07/05/2018 at 11:46 AM #75295

Vonasi

Thanks for the workaround Nicolas. Do PRT plan on bringing MTF to ProBuilder for indicators?

1 user thanked author for this post.

Cris48

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07/05/2018 at 11:56 AM #75298

Nicolas

Vonasi wrote:

Do PRT plan on bringing MTF to ProBuilder for indicators?

I know they are working on indicators on Renko/Kagi/Point&Figure/etc. first and for the version 11 (with sooooooooo many new features and redesigned of the platform that everyone will be amazed!, I think I will able to show you things by September).

MTF for ProBuilder should come with v11.1 , as for the last news I get.

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07/05/2018 at 12:08 PM #75303

Vonasi

If I include the calculations within a strategy that returns a result do the variable names have to be different for each time frame?

I ask because I cut and pasted an indicator code into each time frame and then returned the result as a different variable name for each time frame and the code won’t run – it just goes to an error message asking to send a report.

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07/05/2018 at 12:16 PM #75306

Nicolas

Yes, the rules for variables naming is the same as before. You are programming in different timeframe, but the program is still a single one.

About your error message, seems like a bug. Difficult to help more without knowing the code itself! 🙂

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07/05/2018 at 12:28 PM #75307

Vonasi

I modified the code so that the variables for each time frame have different names by simply adding a ‘2’ to the end of them but it still errors out.

It is the standard error band code on each time frame and then I wanted to graph the results.

P = 21
SDEG = 1
MF=2

timeframe(weekly)
AR = close
N = barindex
LR = Average[SDEG](linearregression[P](AR))

bv1 = summation[P](N*AR) - (P*Average[P](N)*Average[P](AR))
bv2 = summation[P](square(N)) - (P*square(Average[P](N)))
CalcB = bv1 / bv2

CalcA = Average[P](AR) - (CalcB*Average[P](N))

sev1 = Summation[P](square(AR)) - (CalcA*Summation[P](AR)) - (CalcB*Summation[P](N*AR))
sev3 = P - 2
SE = sqrt(sev1 / sev3)

UB = LR + (SE * MF)
BB = LR - (SE * MF)

topline = UB - LR
bottomline = LR - BB
gap = topline + bottomline
closelineW = ((close - bb) / gap) * 100

timeframe(default)
AR2 = close
N2 = barindex
LR2 = Average[SDEG](linearregression[P](AR2))

bv12 = summation[P](N2*AR2) - (P*Average[P](N2)*Average[P](AR2))
bv22 = summation[P](square(N2)) - (P*square(Average[P](N2)))
CalcB2 = bv12 / bv22

CalcA2 = Average[P](AR2) - (CalcB2*Average[P](N2))

sev12 = Summation[P](square(AR2)) - (CalcA2*Summation[P](AR2)) - (CalcB2*Summation[P](N2*AR2))
sev32 = P - 2
SE2 = sqrt(sev12 / sev32)

UB2 = LR2 + (SE2 * MF)
BB2 = LR2 - (SE2 * MF)

topline2 = UB2 - LR2
bottomline2 = LR2 - BB2
gap2 = topline2 + bottomline2
closelineD = ((close - bb2) / gap2) * 100

if average[20] = -100 then
buy at market
endif

graph close
graph closelinew coloured(0,128,0)
graph closelined coloured(0,0,255)

P = 21

SDEG = 1

MF=2

timeframe(weekly)

AR = close

N = barindex

LR = Average[SDEG](linearregression[P](AR))

bv1 = summation[P](N*AR) - (P*Average[P](N)*Average[P](AR))

bv2 = summation[P](square(N)) - (P*square(Average[P](N)))

CalcB = bv1 / bv2

CalcA = Average[P](AR) - (CalcB*Average[P](N))

sev1 = Summation[P](square(AR)) - (CalcA*Summation[P](AR)) - (CalcB*Summation[P](N*AR))

sev3 = P - 2

SE = sqrt(sev1 / sev3)

UB = LR + (SE * MF)

BB = LR - (SE * MF)

topline = UB - LR

bottomline = LR - BB

gap = topline + bottomline

closelineW = ((close - bb) / gap) * 100

timeframe(default)

AR2 = close

N2 = barindex

LR2 = Average[SDEG](linearregression[P](AR2))

bv12 = summation[P](N2*AR2) - (P*Average[P](N2)*Average[P](AR2))

bv22 = summation[P](square(N2)) - (P*square(Average[P](N2)))

CalcB2 = bv12 / bv22

CalcA2 = Average[P](AR2) - (CalcB2*Average[P](N2))

sev12 = Summation[P](square(AR2)) - (CalcA2*Summation[P](AR2)) - (CalcB2*Summation[P](N2*AR2))

sev32 = P - 2

SE2 = sqrt(sev12 / sev32)

UB2 = LR2 + (SE2 * MF)

BB2 = LR2 - (SE2 * MF)

topline2 = UB2 - LR2

bottomline2 = LR2 - BB2

gap2 = topline2 + bottomline2

closelineD = ((close - bb2) / gap2) * 100

if average[20] = -100 then

buy at market

endif

graph close

graph closelinew coloured(0,128,0)

graph closelined coloured(0,0,255)

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07/05/2018 at 12:40 PM #75308

Cris48

@nicolas,

I’m already on MTF with EOD account… I whant to have it with IG demo accounts to test live ASAP!!

Cristiano

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07/05/2018 at 12:47 PM #75309

Vonasi

I corrected a typo in my above post as I missed a ‘2’ off but it still errors out.

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07/05/2018 at 1:26 PM #75318

Cris48

My very small contribution ….

defparam cumulateorders=false
 
 
//
timeframe(60days)
If barindex=0 Then
mclose = Totalprice
mopen = Open
//xhigh = High
//xlow = Low
Else
mclose = Totalprice
mopen = (mopen[1]+mclose[1])/2
//xhigh = Max(Max(High, xopen), xclose)
//xlow = Min(Min(Low, xopen), xclose)
Endif
 
timeframe(3days)
If barindex=0 Then
wclose = Totalprice
wopen = Open
//xhigh = High
//xlow = Low
Else
wclose = Totalprice
wopen = (wopen[1]+wclose[1])/2
//xhigh = Max(Max(High, xopen), xclose)
//xlow = Min(Min(Low, xopen), xclose)
Endif
 
//
timeframe(default)
If barindex=0 Then
xclose = Totalprice
xopen = Open
//xhigh = High
//xlow = Low
Else
xclose = Totalprice
xopen = (xopen[1]+xclose[1])/2
//xhigh = Max(Max(High, xopen), xclose)
//xlow = Min(Min(Low, xopen), xclose)
Endif
//
if xclose crosses over xopen and mclose>mopen then
buy at market
endif
if xclose crosses under xopen then
sellshort at market
endif
 
graph xclose as "price"
graph mclose coloured(148,0,211) as "Montly"
graph mopen coloured(0,0,255)
graph wclose coloured(255,255,0)
graph wopen coloured(255,127,0)
graph xclose coloured(0,255,0)
graph xopen coloured(255,0,0)

defparam cumulateorders=false

timeframe(60days)

If barindex=0 Then

mclose = Totalprice

mopen = Open

//xhigh = High

//xlow = Low

Else

mclose = Totalprice

mopen = (mopen[1]+mclose[1])/2

//xhigh = Max(Max(High, xopen), xclose)

//xlow = Min(Min(Low, xopen), xclose)

Endif

timeframe(3days)

If barindex=0 Then

wclose = Totalprice

wopen = Open

//xhigh = High

//xlow = Low

Else

wclose = Totalprice

wopen = (wopen[1]+wclose[1])/2

//xhigh = Max(Max(High, xopen), xclose)

//xlow = Min(Min(Low, xopen), xclose)

Endif

timeframe(default)

If barindex=0 Then

xclose = Totalprice

xopen = Open

//xhigh = High

//xlow = Low

Else

xclose = Totalprice

xopen = (xopen[1]+xclose[1])/2

//xhigh = Max(Max(High, xopen), xclose)

//xlow = Min(Min(Low, xopen), xclose)

Endif

if xclose crosses over xopen and mclose>mopen then

buy at market

endif

if xclose crosses under xopen then

sellshort at market

endif

graph xclose as "price"

graph mclose coloured(148,0,211) as "Montly"

graph mopen coloured(0,0,255)

graph wclose coloured(255,255,0)

graph wopen coloured(255,127,0)

graph xclose coloured(0,255,0)

graph xopen coloured(255,0,0)

Cristiano

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07/05/2018 at 1:33 PM #75323

Nicolas

@Vonasi

What is your default timeframe please? and what instrument? Doesn’t has any error but the code is still in starting loop since minutes in backtest..

Nicolas

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07/05/2018 at 1:58 PM #75330

Vonasi

Nicolas wrote:

What is your default timeframe please? and what instrument?

DJI and Daily.

Vonasi

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