[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 - 61 through 75 (of 288 total)

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07/05/2018 at 2:23 PM #75336

Nicolas

Yes, I got the same issue. Let’s report it on your side, I’ll do it too.

Nicolas

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07/05/2018 at 2:41 PM #75344

Vonasi

Nicolas wrote:

Yes, I got the same issue. Let’s report it on your side, I’ll do it too.

I sent a report already but that was with the incorrect code so I will send another with the correct code.

Vonasi

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07/07/2018 at 12:42 PM #75524

rajiwas

Prorealtime can be programme toward neural strategy with this feature implementation by segmentation of trading time into night and day period.

rajiwas

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07/07/2018 at 2:01 PM #75528

Nicolas

@rajiwas great! do you have some examples please?

Nicolas

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07/09/2018 at 2:21 PM #75663

Nicolas

@Vonasi

About your issue, another zero divide problem you can fix with:

if gap <>0 then
 closelineW = ((close - bb) / gap) * 100 
endif

if gap <>0 then

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

endif

PRT is working to add better explanation about error when compiling code.

1 user thanked author for this post.

Vonasi

Nicolas

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07/10/2018 at 8:35 AM #75695

rajiwas

I don’t have any code for that now but stripping your code I have this outline below.

defparam cumulateorders=false

TIMEFRAME(4 hour,barclose)
trend = average[50,1]

If close > trend then
weight = 1
else
weight = -1
endif

TIMEFRAME(1 hour,barclose)
trend = average[100,1]

If close > trend then
weight = 1
else
weight = -1
endif

TIMEFRAME(15 minnute,barclose)
trend = average[200,1]

If close > trend then
weight = 1
else
weight = -1
endif

TIMEFRAME(default)

sync  = average[20]
b = summation[3](weight)

if b  > 2 and  close crosses over sync then
Buy Limit

else of b < 2 and close Crosses under sync then
sell limit
endif



////

defparam cumulateorders=false

TIMEFRAME(4 hour,barclose)

trend = average[50,1]

If close > trend then

weight = 1

else

weight = -1

endif

TIMEFRAME(1 hour,barclose)

trend = average[100,1]

If close > trend then

weight = 1

else

weight = -1

endif

TIMEFRAME(15 minnute,barclose)

trend = average[200,1]

If close > trend then

weight = 1

else

weight = -1

endif

TIMEFRAME(default)

sync = average[20]

b = summation[3](weight)

if b > 2 and close crosses over sync then

Buy Limit

else of b < 2 and close Crosses under sync then

sell limit

endif

////

Hope that this gives the general idea, important fact is the weight and can be series of indicator and sum will determined by system what the next of action is, so it flexible to continuous evaluation by the system itself which is neural.

rajiwas

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07/10/2018 at 1:49 PM #75731

Vonasi

rajiwas – please use the ‘Insert PRT Code’ button when putting code in your posts to make it more readable for others. I have tidied up your last post for you. 🙂

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07/10/2018 at 4:34 PM #75745

Nicolas

UPDATE: MTF should be released for IG and PRT Sponsored – DEMO accounts only, next Wednesday.

6 users thanked author for this post.

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Pepsmile,

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rajiwas,

Andyswede,

Vonasi

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07/17/2018 at 5:59 PM #76159

Jose7674

A probe with the function TIMEFRAME to filter a system

The upper one without filter, the lower one with a MACD in 2h

Jose7674

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07/17/2018 at 7:40 PM #76180

Cris48

With IG demo account seems that now the timeframe instruction is in line but the backtesting will not run again…..

Cris48

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07/17/2018 at 8:05 PM #76183

immo_vienna

yes – think it works tomorrow like nicolas said

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07/18/2018 at 8:12 AM #76196

Cris48

not yet…

Cris48

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07/18/2018 at 8:53 AM #76198

immo_vienna

i tried too – doesnt work today :/ propaply nicolas could help?

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07/18/2018 at 9:29 AM #76208

Cris48

Something is work in progress …

Cris48

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07/18/2018 at 9:37 AM #76210

robertogozzi

Yes, ProOrder recognize the TIMEFRAME keyword and colours each section differently, still ProBackTest doesn’t accept them, as Cris48 said… works in progress!

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