[beta-testing] multi timeframe support for automatic trading, ideas are welcome!
- This topic has 287 replies, 47 voices, and was last updated 4 years ago by
.
-
Indicators have always updated themselves on the fly, live, you’ll notice that looking at charts, especially on lower TFs, but you could only access them on closure of each bar.
Now you can access them while higher TFs are forming, this is by default. UPDATEONCLOSE will change this setting letting you access only values at the time of the last closed bar.
So referencing an MA on a daily chart from a 1-hour TF will return 24 different values. With UPDATEONCLOSE one value will be returned 24 times, that of the last close.
It’s only since MTF that the Daily Indicator code would run other than at close of the daily bar??
No – indicators have always shown the latest on the fly value and not been fixed at the close value until the candle has closed. Now with MTF we can decide whether to take this ever changing value or wait until the candle closes and just take the last closed candle value.
1 user thanked author for this post.
Think of MTF values for ‘updateonclose’ and ‘default’ as what you see if you apply this indicator to a chart in any time frame that would be a non default time frame. The default time frame will always be ‘updateonclose’.
1return close as "default", close[1] as "updateonclose"You will see that ‘default’ is ever changing while the candle is still forming and ‘updateonclose’ is fixed to the last candle close value.
1 user thanked author for this post.
There is no wrong or right. If looking at a monthly time frame value in your code then you might find that using ‘updateonclose’ is better as many will look at the last closed candle and say it was a down candle so that tells me a lot about market sentiment at the beginning of the month. However on the first of the month the new months currently forming ‘default’ candle will tell you nothing at all and so be pretty unusable for trading decisions – because for the first few days of the month it might be down and then up and then down – changing second by second before finally settling nearer the end of the month for whether it is likely to close up or down.
‘Default’ has the disadvantage of giving too many signals. If you are for example looking for a crossover in a five minute time frame then you could have dozens that whipsaw you in and out of a trade!
Maybe we should be looking at both values ‘updateonclose’ and ‘default’ and only trading if they are in agreement or disagreement depending on our strategy type? Now there is a new idea to test!
1 user thanked author for this post.
The following helps to see what the difference is I think.
1234567891011121314timeframe(daily, updateonclose)closeave = average[2]timeframe(daily, default)defaultave = average[2]timeframe(default)if average[5] = -20 thenbuy at marketendifgraph closeave as "updateonclose"graph defaultave as "default"
Applied on a 5 minute chart it can be clearly seen that the value of the ‘updateonclose’ changes just once at the beginning of a day and is held at that value throughout the whole day – resulting in a very squared off graph line. Where as the ‘default’ value changes every time a five minute bar closes.
I think that I might be falling in love with MTF!
I just used it in a ‘fake’ strategy that graphed median price over various time frames and I very quickly spotted a pattern. Within a couple of minutes I had turned it into the simplest of strategies and here are the results.
It is a daily long only strategy with just one variable and that is in a very general and simple bear market filter. The equity curve shown is for a level stake of 1 and spread of 2.4 on the DJI since the end of 1986. The average trade length is 1d 5h and 6d 7h between positions. The largest number of positions held was 8 and the longest trade was 15 days.
When you create something this simple and it works straight out of the box it is very satisfying. Hopefully it will work as well on some other indices. It happened to be named MySystem(123) so I think I might give it the strategy name of ‘Easy as 123’!
I am in love with MTF! Thank you PRT for giving it to us.
Find exclusive trading pro-tools on 
