Multi timeframe – MTF indicators for ProRealTime

Nicolas · Wed, 27 May 2020 09:34:34 +0000

Happy news for a large number of traders and programmers! The long-awaited support for using indicators from other timeframes in the same indicator (aka MTF indicators) will finally be available soon in programming (in a future update to ProRealTime version 11). I am currently testing different combinations to study all that is possible and so far everything works as well as what we could have with MTF for automatic trading strategies via ProOrder / ProBacktest . The programming method remains the same as that already used for ProScreener or ProOrder. That is to say that we declare our TIMEFRAME, then we code below in an ordinary way. So you can combine as much timeframe as you want and do everything you’ve dreamed of so far (for those who dream of programming of course 😆 ) Simple example: timeframe(1 hour,updateonclose) up = BollingerUp[20](close) dn = BollingerDown[20](close) timeframe(15 minutes) tenkan = TenkanSen[9,26,52] return up,dn, tenkan coloured(0,150,200) style(line,2) In this simple example, we apply a 1-hour Bollinger Bands (updated once at each 1-hour bar close) and a 15-minutes TenkanSen (update once at each current timeframe bar closure). — As you can see, this leaves a lot of room for the imagination to program a lot of new things! Combined with the arrays, we can now say that a certain number of limits have been overcome with regard to programming under ProRealTime! I do not know yet when this functionality will be available to the public, but I will try to keep you informed. In the meantime if you have any questions or questions, I will try to answer them as soon as possible. I will probably post other more or less complex examples over time! 😉

This topic has 145 replies, 48 voices, and was last updated 1 month ago by druby.

Tagged: mtf, mtf indicators

Viewing 15 posts - 46 through 60 (of 146 total)

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12/22/2020 at 2:44 AM #154809

trevor

Hello everybody. I am trying to use the MTF in a momentum strategy that is in its early stages.

I am using the close of multiple moving averages, that are < or > the previous close. In the hour TF.

Wanting to open a trade at the start of the hour candle, and close at the end of the candle. So that I can open another trade at the start of the next candle.

The only work around I have found is using the 1 minute time frame, and closing the trade at 235900. I minute before the end of the day.

But my strategy will not trade both longs and shorts. Some currency pairs trade longs only, and others trade shorts only.

Being a code learner at the early stages, I have no idea of how to fix this!

trevor

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12/22/2020 at 8:34 PM #154918

trevor

This is the code. I thought I had attached it.

trevor

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12/22/2020 at 8:37 PM #154920

trevor

This is the proper file. Sorry all.

trevor

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12/24/2020 at 6:24 AM #155077

Jerome888

Hi all,

Nicolas sorry I think I have posted a message in English on the French Forum. You can delete it if needed.

The here below code draw n/d

timeframe(15 minutes) SSpanA = SenkouSpanA[9,26,52]//(tenkan[KijPeriod]+kijun[KijPeriod])/2 timeframe(1 minutes) DRAWTEXT(SSpanA, barindex, high+1, Dialog, Bold, 12) COLOURED(255,140,0,255) return

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timeframe(15 minutes)
SSpanA = SenkouSpanA[9,26,52]//(tenkan[KijPeriod]+kijun[KijPeriod])/2

timeframe(1 minutes)
DRAWTEXT(SSpanA, barindex, high+1, Dialog, Bold, 12) COLOURED(255,140,0,255)

return

if I replace the timeframe 15 by

timeframe 5: Everything is OK

1 hour, 4 hours fail as well…

Thank you

Jerome888

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12/27/2020 at 7:42 AM #155294

s00071609

Is the v11 multi timeframe indicator working. I am getting “calculation error” when trying to load the indicator. Could someone confirm if this is common issue?

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Jerome888

s00071609

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12/27/2020 at 10:43 AM #155306

robdav

I find this can happen if you have too much historical data loaded.

Try reducing the number of bars displayed on the chart maybe?

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Jerome888

robdav

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12/27/2020 at 2:10 PM #155334

Jerome888

@robdav, the solution appears in this direction, the contrary in fact ! If I do not load enough historical data, the n/d appears

Thank you.

I am now looking for a coding solution where I could load more data than the ones displayed.

Jerome888

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01/01/2021 at 7:55 PM #155884

Newbie

Thank you PRT… I can’t wait to start playing with these new functions.

Newbie

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01/09/2021 at 1:40 PM #157088

Ermitage

Hi All,

Is it possible to mix different multitime frame in ticks and time based, for instance apply in a timeframe 1h an indicator based on 200 ticks.

Thanks

Ermitage

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01/09/2021 at 2:23 PM #157093

robertogozzi

No, they cannot be mixed.

robertogozzi

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02/23/2021 at 2:58 PM #162444

Jaldidee

Good afternoon,

I am also trying to use MTF on indicators in a strategie. The idea is to use the historiv volatility on de daily timeframe in a 5 minute timeframe strategie.

First I created the indicator (see below)

timeframe(daily, updateonclose)
myvolatility = HistoricVolatility[20](close)

return myvolatility

timeframe(daily, updateonclose)

myvolatility = HistoricVolatility[20](close)

return myvolatility

But when I look at the indicator on the five minute chart it gives a completely different value the the historicvolatility on the daily chart.

How is this possible and what am i doing wrong? Also the indicator does not go further back then 25th of januari. Why is that?

Hope somebody can help me.

Kind Regards,

Jaldidee

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02/23/2021 at 3:55 PM #162455

robertogozzi

This might be of help https://www.prorealcode.com/topic/indicator-for-system/page/2/#post-162300.

robertogozzi

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02/23/2021 at 3:55 PM #162456

Nicolas

Expand the units displayed of the 5-minutes TF chart, in order to get the necessary data to calculate the historical volatility of the daily timeframe.

Nicolas

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04/09/2021 at 3:10 PM #166630

ginko

I saw an issue with multiple TimeFrames for long EMAs (600 periods) when computing them through the strategy tester and indicators.
Results are différent. Numlber of displayed units is the same.

Codes are the same except that one is inside a strategy tester, the other inside an indicator.

It seems related to the number of units displayed in the 1 minute graph.

It seems also the issue appears on the multiple timeframe indicator with 15 k units of 1 minute (that should be OK to compute a EMA(600) in 15 minutes because 15 * 600 = 9000 < 15 000),

Same issue with 20 k units.

When I display 30 k units, then it works better (not fully accurate though). I show this différence_StratégieEtIndicateurMTF3.JPG in which the middle graph is showing the issue. Left graph is the accurate number (15 minute timeframe), Middle (15 k units in 1 minute) is wrong and right is better (30k units of 1 minute), but not fully accurate though…

Is this a known problem ?
Thanks for your help

ginko

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04/09/2021 at 4:28 PM #166643

Nicolas

EMA uses the previous EMA value with a weighting factor to continuously calculate the new value, so a decay might happen if you start the calculation earlier or later, and that’s what you are observing here. If I use 30k units, I get the same results on the current bar.

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ginko

Nicolas

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