MTF, with or without UPDATEONCLOSE?

• 06/03/2023 at 1:02 PM #215605
  phoentzs

  I would like to ask for your opinions here… When I use MTF, I use it in this form:

  timeframe(240minute, updateonclose)

  Now, more by accident, I omitted this “updateonclose” and my strategies somehow seem “rounder” with more power. The only way I can explain it is that the signal with “updateonclose” when used with an H4-TF comes 4 hours “later” and is valid for exactly 4 hours. If the signal is no longer available within these 4 hours, the system only notices it 4 hours later.
  If I now set up a system without “updateonclose”, the system reacts almost immediately if a signal is present or not. That means it reacts faster… maybe more nervous?
  Does anyone have experience with it? Can anyone give me their opinion on which is better? I’m a bit afraid of over-optimization…

   

  

  phoentzs

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  06/03/2023 at 2:50 PM #215606
  GraHal

  What is / are  the other Timeframe(s) in your code?

  If it were me I would updateonclose  or not use updateonclose depending on which gives the ‘best’ results taking all performance factors into account?

  Maybe if you post an equity curve with positions under equity curve and price curve under positions then we might be able advise somethng moe meaningful?

  

  GraHal

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  06/03/2023 at 3:23 PM #215607
  druby

  Hi phoentzs.

  Omitting the ‘UPDATEONCLOSE’ is a shortcut, and is the same as replacing it with ‘DEFAULT’.

  The difference between them is, ‘when’ the data covered by the ‘TIMEFRAME’ is updated.

  ‘UPDATEONCLOSE’ – uses the close of the specified timeframe.

  ‘DEFAULT’ – uses the close of the ‘Chart Timeframe’ , I guess could be known as ‘TIMEFRAME(DEFAULT,DEFAULT)’.

  Using the ‘DEFAULT’ option, updates the ‘TIMEFRAME’ values at a higher frequency since the ‘TIMEFRAME’s time value is, and has to be a multiple of the default/chart timeframe.

  e.g. if [ , ] was an update and chart 1h

  updateonclose-v-default

  8h …….,…….,-v-,,,,,,,,,,,,,,,,

  4h …,…,…,…,-v-,,,,,,,,,,,,,,,,

  1h ,,,,,,,,,,,,,,,,-v-,,,,,,,,,,,,,,,,

  Regarding which is better – the best you can due is backtest both against each other based on what your doing. At least you will be able to see the differences between them and ‘Know’ which is better.

  Regards

  

  druby

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  06/03/2023 at 3:39 PM #215608
  phoentzs

  I don’t have a laptop here right now otherwise I could visualize it… I mostly use inputs in the TF M1 and get an overall trend from higher timeframes. This can be the M15 or the H4. If I remove UPDATEONCLOSE from an M15-TF, the system becomes very nervous and worse. But for systems that get signals from H1 or H4, removing UPDATEONCLOSE will make the system more powerful, with more positions and a quasi-similar drawdown. Which leads me to think that would be better in this case. I think there are just more opportunities for the M1-TF to take good positions. At least that’s what it looks like.

  

  phoentzs

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  06/03/2023 at 3:41 PM #215609
  phoentzs

  In sideways phases, however, there is also the risk that several bad positions will be taken one after the other.

  

  phoentzs

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  06/03/2023 at 4:47 PM #215614
  robertogozzi

  It’s a personal choice, whether to use signals while a candle is being formed or wait for its closing.

  That’s what MTF is for, before that you could only wait for its closing, now you have a choice.

  I prefer waiting the closing to enter a position and use the live data to confirm it. This code will enter on a SMA crossover, on a 4h-timefrane, provided on the Daily TF the SMA is currently rising. You may use it on a 4h-timeframe or lower:

  DEFPARAM CumulateOrders = False // Timeframe(Daily,default) SmaD = average[20,0](close) // Timeframe(4h,UpdateOnClose) Sma4 = average[20,0](close) IF (close CROSSES OVER Sma4) AND (SmaD > SmaD[1]) THEN BUY AT MARKET SET TARGET pPROFIT 300 SET STOP pLOSS 150 ENDIF // Timeframe(default) //********************************************************************************* // https://www.prorealcode.com/blog/trading/complete-trailing-stop-code-function/ // (lines 17- 56) // //trailing stop function trailingstart = 10 //trailing will start @trailinstart points profit trailingstep = 1 //trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF //*********************************************************************************

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  DEFPARAM CumulateOrders = False // Timeframe(Daily,default) SmaD = average[20,0](close) // Timeframe(4h,UpdateOnClose) Sma4 = average[20,0](close) IF (close CROSSES OVER Sma4) AND (SmaD > SmaD[1]) THEN BUY AT MARKET SET TARGET pPROFIT 300 SET  STOP  pLOSS   150 ENDIF // Timeframe(default) //********************************************************************************* // https://www.prorealcode.com/blog/trading/complete-trailing-stop-code-function/ // (lines 17- 56) // //trailing stop function trailingstart = 10   //trailing will start @trailinstart points profit trailingstep  = 1    //trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF //*********************************************************************************

   

   

  

  robertogozzi

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  06/04/2023 at 12:59 PM #215630
  phoentzs

  That’s how I mean it too. Trend signals from upper TF without UPDATEONCLOSE and entry signal with UPDATEONCLOSE. My entries are usually created in TF (default).

  

  phoentzs

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  06/22/2023 at 6:40 PM #216633
  phoentzs

  I have to ask one more question to understand better. If I use a SMA20 from the TF H1 without updateonclose in the TF M1… is that exactly the same as a SMA1200 from the TF M1?

  

  phoentzs

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  06/22/2023 at 6:52 PM #216634
  GraHal

  I just did a test using Cursor Details, real easy to do, but best done while price is not moving (21:15 to 21:30 UK time on DJI).

  I switched between TF’s – 1 min TF (MA1200) and 1 hour (MA20) – and value was the same (within the limitations of above error – 0.1 diff on DJI).

  1 user thanked author for this post.

  phoentzs

  

  GraHal

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