[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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07/22/2018 at 3:23 PM #76474

Sofitech

If someone is testing the code… Grahal maybe… do not hesite to let me know how it works.
Of course there are many ways to improve it and to optimize some values.

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07/24/2018 at 8:31 AM #76568

GraHal

Only just noticed this Topic again, sorry.

I got it to run after making lots of changes to overcome error messages (most were – you can’t use same variable name under two Timeframes) … use this site to compare your code version to mine.

https://www.diffchecker.com/

But the code still doesn’t execute any trades. I reckon you may have too many conditions that are not coincident so no Trades??

I’ll let you know if I get it going later.

Edit / PS
Yeah, I GRAPH Signal and it doesn’t occur at all, more in a few mins! 🙂

// Définition
DEFPARAM CumulateOrders = False
DEFPARAM FLATBEFORE = 090000
DEFPARAM FLATAFTER = 120000

TIMEFRAME(default)
haclose=(open+close+low+high)/4
haopen=(haopen[1]+haclose[1])/2
sto = Stochastic[5,3](close)
myAverage=Average[3]
Signal= (haclose>haopen) and (sto>sto[1]) and (sto<80) and sto CROSSES OVER myaverage

TIMEFRAME(5 minutes)
haclose5=(open+close+low+high)/4
haopen5=(haopen[1]+haclose[1])/2
sto5 = Stochastic[5,3](close)
bull5=(haclose5>haopen5) and (sto5>sto[1]) and (sto<80)
 
TIMEFRAME(15 minutes)
haclose15=(open+close+low+high)/4
haopen15=(haopen[1]+haclose[1])/2
sto15 = Stochastic[5,3](close)
bull15=(haclose15>haopen15) and (sto15>sto[1]) and (sto<80)
 

 
if bull5 and bull15 and signal then
buy at market
endif
 
// Closedafault
TIMEFRAME(default)
sto = Stochastic[5,3](close)
IF sto CROSSES OVER 80 THEN
SELL AT MARKET
ENDIF
 
// Stops
SET STOP pLOSS 15

// Définition

DEFPARAM CumulateOrders = False

DEFPARAM FLATBEFORE = 090000

DEFPARAM FLATAFTER = 120000

TIMEFRAME(default)

haclose=(open+close+low+high)/4

haopen=(haopen[1]+haclose[1])/2

sto = Stochastic[5,3](close)

myAverage=Average[3]

Signal= (haclose>haopen) and (sto>sto[1]) and (sto<80) and sto CROSSES OVER myaverage

TIMEFRAME(5 minutes)

haclose5=(open+close+low+high)/4

haopen5=(haopen[1]+haclose[1])/2

sto5 = Stochastic[5,3](close)

bull5=(haclose5>haopen5) and (sto5>sto[1]) and (sto<80)

TIMEFRAME(15 minutes)

haclose15=(open+close+low+high)/4

haopen15=(haopen[1]+haclose[1])/2

sto15 = Stochastic[5,3](close)

bull15=(haclose15>haopen15) and (sto15>sto[1]) and (sto<80)

if bull5 and bull15 and signal then

buy at market

endif

// Closedafault

TIMEFRAME(default)

sto = Stochastic[5,3](close)

IF sto CROSSES OVER 80 THEN

SELL AT MARKET

ENDIF

// Stops

SET STOP pLOSS 15

GraHal

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07/24/2018 at 9:10 AM #76571

GraHal

Spent a while on it, got it trading now, but overall a losing Strategy (does not get above 0 at any point over 100k bars).

I made loads changes to Signal criteria, even rem’d it out altogether … still no good!

I even reversed Buys to SellShort and Sells to Exitshort but still overall a losing Strategy.

You need to get Multi-TF on your Platform and rethink the Strategy overall or certain parts anyway?

Maybe I am missing a trick somewhere, so please post the code on this Topic if you do it get it profitable and then it closes the loop? 🙂

GraHal

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07/24/2018 at 9:43 AM #76578

GraHal

Sofitech wrote:

as i do not have access to MTF with IG now.

@Sofitech … why do you think you do not have access to MTF … we all have it now surely on our Demo accounts??

GraHal

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07/24/2018 at 10:40 AM #76588

GraHal

Nicolas wrote:

ProOrder should be by tomorrow if updates are going well.. (and still for DEMO ACCOUNTS ONLY).

@Nicolas apols for disturbing your hols 🙂

but do you know if MultiTF is activated on Demo ProOrder / Demo Forward Test yet please?

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07/25/2018 at 10:09 AM #76680

Vonasi

MTF testing seems to be working fine for me at the moment. I have only had one issue so far:

https://www.prorealcode.com/topic/unable-to-use-variable-across-time-frames/

I think it would be good if we could change the value of a variable in any timeframe. If an event occurs on a weekly chart then you might want to set a flag and then if another event happens in a different time frame change the value of that flag. As can be seen in the topic above it is possible to find workarounds but it would give us more coding options if we could alter variable values in any time frame.

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07/25/2018 at 1:37 PM #76710

GraHal

GraHal wrote:

you can’t use same variable name under two Timeframes)

Can you / we not get around the restriction by doing what I did in the post quoted … give the variable a unique name for each TF then have a condition (using the unique named variable in that TF) and then use that condition along with other conditions from other TFs in the default TF that the System / Platform is running on?

Hope that makes sense?? 🙂

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07/25/2018 at 1:55 PM #76715

robertogozzi

Yes, it makes sense, take a look at this (lines 41-50 and 60-69) https://www.prorealcode.com/topic/cowabunga-on-dax-with-multiple-time-frames/.

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07/25/2018 at 2:09 PM #76717

Vonasi

GraHal wrote:

Hope that makes sense??

Yes it makes sense but wouldn’t it be a whole lot easier if we could just modify any variable in any time frame? Not sure how possible this is for PRT to achieve but it would make coding a lot simpler.

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07/25/2018 at 2:58 PM #76727

Vonasi

I just had this error message:

If I change ‘hourly’ to ‘1 hour’ then the error disappears.

On here:

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

Nicolas says that ‘hourly’ is OK to use. The code does not flag it up as an error and ‘hourly’ is shown in blue lettering but the strategy won’t run with it.

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07/25/2018 at 4:28 PM #76737

Nicolas

Hi guys, I’m just passing by to let you know about this short video just released by ProRealTime:

Enjoy the hot summer! 🙂

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Andyswede,

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07/25/2018 at 8:51 PM #76742

GraHal

No I’m not, I hate the heat! my brain switches off and I feel like a zombie! 🙂

I have read Nicolas blog on MTF, but I’m still not sure I understand the difference between using update on close and not using it.

If anybody has an analogy it might help? Vonasi, you’ve done a few good analogies in the past … got any pearls of wisdom for me on this one? 🙂

The superior TF cannot be making any changes to an Indicator except at the close of the superior TF surely? So what is the need for update on close??

Maybe I’ll reread the MTF blog just before bed and let my brain work on it! 🙂

I know I’ll run one of my MTF systems with update on close and without it and check the differences!

Edit / PS

Ha worse results, – £200 with update on close included … see the top equity curve below.

GraHal

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07/25/2018 at 9:08 PM #76744

GraHal

GraHal wrote:

Ha worse results, – £200 with update on close included … see the top equity curve below.

Mmm the System with updateonclose included stays in trades longer while profit decreases … see attached. The left is with and the right is without.

Anybody any comment / thoughts please?

GraHal

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07/25/2018 at 9:15 PM #76747

Vonasi

You have to think of it as making a decision once a candle has closed or on the fly while a candle is still forming.

If you have a 1 hour strategy that also looks at a daily candle then with ‘updateonclose’ it will only consider the values of the last closed daily candle and any indicator values etc of that last closed daily candle when it closed. With ‘default’ at the close of every hourly candle it will look and see what the current values are of the currently forming daily candle and use those values.

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07/25/2018 at 9:32 PM #76748

GraHal

Vonasi wrote:

With ‘default’ at the close of every hourly candle it will look and see what the current values are of the currently forming daily candle and use those values.

I can see that a price candle is continually forming throughout the day, but if an Indicator is running on a Daily TF then how does that (Daily) Indicator form any intraday value if the Indicator code only runs at the close of the Daily candle??

Maybe I’m confusing myself now … doesn’t take much! 🙂

Edit / PS

It’s only since MTF that the Daily Indicator code would run other than at close of the daily bar?? With MTF the Daily Indicator code (or whatever superior TF code?) now runs at the default TF and computes an intra-day Indicator value??

GraHal

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