Hi dnystrom,
Very interesting idea to try this crossing strategy in Multiple Time Frames.
I am not sure if it much limits the trades using an optimum in both a long and short time frame, because there are many short time frames available for crossing when the long time frame crosses.
(Theoretically) it would be possible to do so, but it can not be tested at once (70 x 70 x 70 x 70 = 24.010.000 variations, way too much), and you would have then 4 x 70 averages, which is a long code.
Image you do this for proper testing on more then 100.000 bars (of the short time frame), I hope we do not get the RED FLAG from ProRealTime for overusing the server !
The trading concept would be: (if I understand the idea of dnystrom correctly)
if AvType1 (long time frame) crosses above AvType2 (long time frame) and AvType3 (short time frame) crosses above AvType4 (short time frame), go long
Vice versa if AvType1 (long time frame) crosses under AvType2 (long time frame) and AvType3 (short time frame) crosses under AvType4 (short time frame), go short
I will work out a strategy like this and test it with a small range of variables and let you know. (Testing until the RED Flag will be given . . ), I can share the code.
You may develop it yourself, copy first range of averages (0-69) to Notepath, find/replace MATpe to MAType3 /4, find/replace Series to Series3 /4, find/replace Period to Period3 /4, find/replace AFR to AFR3 /4, and add back the new averages, started those with the smaller time frame, start the original 2 ranges with the higher timeframe, and extend the smoothed averages and the crossings in the bottom lines of the code, and see and test what it delivers), Do not forget to add also AFR3 and AFR4 to the variables to be tested above the code.
