Optimization of timeframes

• 12/18/2024 at 10:10 AM #241530
  Vicke1990

  Hi,

  Is it somehow possible to use the optimizer to backtest different timeframes?

  I want to test a system with different Supertrend in different timeframes, is this possible somehow?

  Have tried:

  timeframe([time] minutes) st = Supertrend[3,10]

  1 2	timeframe([time] minutes) st = Supertrend[3,10]

  Thanks!

  

  Vicke1990

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  12/18/2024 at 11:54 AM #241534
  JS

  Hi,
  In PRT, it is not possible to use a variable as a parameter in the “TimeFrame” instruction…

  2 users thanked author for this post.

  druby, Iván

  

  JS

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  12/18/2024 at 1:28 PM #241560
  druby

  You could do something like below, this is the way I would pursue and initially seems to work!

  I’ve not used this technique for anything myself yet but, other than using the Timeframe command, the only other way would be to multiple up values to represent other timeframes.

   

  Though depending on the complexity of what your doing , you could run into issues or limits, here’s some:

  How many multi timeframes can be used, and the mTF(s) have to be a multiple of the chart/default timeframe.

  How many units needed to calculate indicator values, if default TF is small and mTF is large.

  If larger amount of units used, will it exceed the tick by tick limit in backtest.

  There maybe others.

  PRT keeps it’s users on a short leash, don’t want them running on the grass, or get up enough speed, for when they run into the inevitable brick wall of limitations!

   

  Also certain values most probably, need to be different for different TF’s i.e. stops and targets etc.

  Maybe good to get an initial view over a number of TF’s. Then filter down to a  number of TF’s covering a smaller range, or do several on narrow ranges etc.

  Note, you need to set up a optimisation variable, spec at top of code.

  defparam preloadbars = 10000 defparam cumulateOrders = false // Variable optimization variables... //tf = ... min = 1, max = 5, step = 1 timeframe(1minute,updateonclose) if tf = 1 then avg1 = supertrend[3,10] else avg1 = undefined endif timeframe(5minute,updateonclose) if tf = 2 then avg5 = supertrend[3,10] else avg5 = undefined endif timeframe(15minute,updateonclose) if tf = 3 then avg15 = supertrend[3,10] else avg15 = undefined endif timeframe(30minute,updateonclose) if tf = 4 then avg30 = supertrend[3,10] else avg30 = undefined endif timeframe(1hour,updateonclose) if tf = 5 then avg60 = supertrend[3,10] else avg60 = undefined endif timeframe(default) if tf = 1 then avg = avg1 SL = 5 PT = 10 elsif tf = 2 then avg = avg5 SL = 10 PT = 20 elsif tf = 3 then avg = avg15 SL = 15 PT = 30 elsif tf = 4 then avg = avg30 SL = 20 PT = 40 elsif tf = 5 then avg = avg60 SL = 25 PT = 50 endif graph tf graph SL graph PT graphonprice avg if close crosses over avg then BUY 1 CONTRACTS AT MARKET set stop ploss SL set target pProfit PT endif if onmarket and close crosses under avg then sell at market endif

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  defparam preloadbars = 10000 defparam cumulateOrders = false // Variable optimization variables... //tf = ...    min = 1, max = 5, step = 1   timeframe(1minute,updateonclose) if tf = 1 then avg1 = supertrend[3,10] else avg1 = undefined endif timeframe(5minute,updateonclose) if tf = 2 then avg5 = supertrend[3,10] else avg5 = undefined endif timeframe(15minute,updateonclose) if tf = 3 then avg15 = supertrend[3,10] else avg15 = undefined endif timeframe(30minute,updateonclose) if tf = 4 then avg30 = supertrend[3,10] else avg30 = undefined endif timeframe(1hour,updateonclose) if tf = 5 then avg60 = supertrend[3,10] else avg60 = undefined endif timeframe(default)     if tf = 1 then avg = avg1 SL = 5 PT = 10 elsif tf = 2 then avg = avg5 SL = 10 PT = 20 elsif tf = 3 then avg = avg15 SL = 15 PT = 30 elsif tf = 4 then avg = avg30 SL = 20 PT = 40 elsif tf = 5 then avg = avg60 SL = 25 PT = 50 endif   graph tf graph SL graph PT   graphonprice avg   if close crosses over avg  then BUY 1 CONTRACTS AT MARKET set stop ploss  SL set target pProfit PT endif   if onmarket and close crosses under avg then sell at market endif

   

  

  druby

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