[beta-testing] multi timeframe support for automatic trading, ideas are welcome!

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08/24/2018 at 12:19 PM #78933 quote

Gianluca
Participant

Master

Vonasi wrote:

et

No, i tried both, still different.

If I am forced to use lower time frames to manage a trade on a higher timeframe, the result is totally different. So it means that something is not right.

08/24/2018 at 12:46 PM #78938 quote

Vonasi
Moderator

Master

I think it is because you are trying to buy and sell with those instructions in the 4 hour timeframe when with MTF you should be buying and selling in the default time frame. That is just a poorly educated guess though.

08/24/2018 at 10:54 PM #79030 quote
LorenzoM
Participant

New
Hello to everybody!
I have two questions that I would like to clarify; maybe they have already been asked, but I cannot find them.

In a multi timeframe scenario, something like that
```
if ((not onmarket) and (onmarket[1]) then
// do something if the strategy has just exited from the market
endif
```
[1] what does it refer to? to the default TF?

And in something like
```
timeframe (5 minutes, updateonclose)
MA20 = average [20]
bulltrend = summation [3] (MA20> MA20 [1]) = 3

// "default" timeframe (the timeframe you will launch the strategy on)
timeframe (default)
...

if (MA20 <MA20[1]) then
// do something if MA20 is decreasing
endif
```
[1] is referred to the value of MA20 in the TF bar 5 minutes before?

Thanks,
Lorenzo
08/25/2018 at 5:32 AM #79031 quote

robertogozzi
Moderator

Master

1) it does not involve TFs, it simply checks whether a trade has just been closed, though you usually use this for in the lowest TF.

2) yes.

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08/25/2018 at 8:40 AM #79034 quote

GraHal
Participant

Master

LorenzoM wrote:

but I cannot find them.

This may help?

https://www.prorealcode.com/blog/learning/approach-multi-timeframe-trading-prorealtime/

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08/26/2018 at 10:45 AM #79100 quote

Gianluca
Participant

Master

Vonasi wrote:

I think it is because you are trying to buy and sell with those instructions in the 4 hour timeframe when with MTF you should be buying and selling in the default time frame. That is just a poorly educated guess though.

i think that is the reason, but if is like this MTF is useless to use in Trailing stop code, and no so Revolutionary as said for the TF, in fact i think that one of the big problems of PRT is the use of the Trailing Stop function specially with Big TF, in fact if the funcion #trailingstop makes the results of the backtesting unreliable, a big improve should be using MultiFrame even for smaller periods even if the strategy is for a big periods.

If the MTF remains like now, with the only possibility to use MTF starting for a small periods, thats will be not a big improve.

And also, if i use a strategy originally made with the 4hr TF, starting from a lower TF but with the command Timeframe4hr, results should be the same, not differents.

08/26/2018 at 11:51 AM #79104 quote

Nicolas
Keymaster

Master

Vonasi wrote:

I think it is because you are trying to buy and sell with those instructions in the 4 hour timeframe when with MTF you should be buying and selling in the default time frame.

That’s wrong. In this example, the strategy is buying on a 15-minute timeframe and the orders are managed in a lower TF: Partial closure of positions when price is retracing

Gianluca wrote:

a big improve should be using MultiFrame even for smaller periods even if the strategy is for a big periods.

That’s possible, why not using one of the trailing code functions available on the website, like the way I did in the article above?

Gianluca wrote:

If the MTF remains like now, with the only possibility to use MTF starting for a small periods, thats will be not a big improve.

That’s obvious that if you are using a lower timeframe to manage your orders, the ‘starting’ TF is the smallest one. But I deplore the fact that the history is limited to this one though..

Gianluca wrote:

if i use a strategy originally made with the 4hr TF, starting from a lower TF but with the command Timeframe4hr, results should be the same, not differents.

If the whole code of the strategy is embedded in the timeframe(4 hours, updateonclose), results should be the same (example attached below).

08/26/2018 at 1:25 PM #79109 quote
robertogozzi
Moderator

Master
When your strategy works as expected on a 4-h TF, with your trailing stop code embedded in the default TF, you can detect any benefit from MTF just:
- Backtest it from a 4-hour TF using the max time interval allowed for 1-minute chart
- Bscktest it from a 1-minute chart
if this shows benefits, then keep your strategy MTF for the trailing code, otherwise do not!

If you use MTF for your 4-hour strategy to run trailing stop code in a 30-minute TF you’ll never have benefits, because in 30 minutes prices can move so many pips, especially Dax and EurUsd.

MTF should be used if:
- you want to test indicators in more than one TF
- you want to make your trailing stop code more responsive
- you want both
08/29/2018 at 3:22 PM #79299 quote
AlgoAlex
Participant

Master
I’m trying a mtf code in demo live, and I wanna share with you how I am unable to see errors in opening trades…

This is the code:
```
//-------------------------------------------------------------------------
// Codice principale : RSIOMA MTF DAX 30M
//-------------------------------------------------------------------------
defparam preloadbars=10000
defparam cumulateorders=true
myRSIoMA, myLevelUp, myLevelDown, mymedlevel = CALL "PRC_RSIoMA extended"[14, 21, 1, 50, 80, 20](close)

TIMEFRAME (Daily, updateonclose)
//your daily conditions
dlong=myRSIoMA>myRSIoMA[1]
dshort=myRSIoMA<myRSIoMA[1]
TIMEFRAME (4 hours, updateonclose)
//your 4-hour conditions

h4long=myRSIoMA>mymedlevel
h4short=myRSIoMA<mymedlevel

TIMEFRAME (1 hour, updateonclose)
//your 1-hour conditions

h1long=myRSIoMA>myLevelUp
h1short=myRSIoMA<myLevelDown
myST=Supertrend[3,10]
TIMEFRAME (default)
//your code to Enter/Exit trades
//your stop loss code

entrylong=myRSIoMA crosses over mylevelup
entryshort=myRSIoMA crosses under myleveldown

if dlong and h4long and h1long and entrylong then
buy 1 contracts at market
endif

if dshort and h4short and h1short and entryshort then
sellshort 1 contracts at market
endif

if longonmarket and close crosses under myST or myRSIOMA crosses under mylevelup then
sell at market
endif

if shortonmarket and close crosses over myST or myRSIOMA crosses over myleveldown then
exitshort at market
endif
///breakeven
startBreakeven = 50 //how much pips/points in gain to activate the breakeven function?
PointsToKeep = 5 //how much pips/points to keep in profit above of below our entry price when the breakeven is activated (beware of spread)
 
 
//reset the breakevenLevel when no trade are on market
IF NOT ONMARKET THEN
breakevenLevel=0
ENDIF
 
// --- BUY SIDE ---
//test if the price have moved favourably of "startBreakeven" points already
IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN
//calculate the breakevenLevel
breakevenLevel = tradeprice(1)+PointsToKeep*pipsize
ENDIF
 
//place the new stop orders on market at breakevenLevel
IF breakevenLevel>0 THEN
SELL AT breakevenLevel STOP
ENDIF
// --- end of BUY SIDE ---

//sell side
IF SHORTONMARKET AND tradeprice(1)-close>startBreakeven*pipsize THEN
//calculate the breakevenLevel
breakevenLevel = tradeprice(1)-PointsToKeep*pipsize
ENDIF
//place the new stop orders on market at breakevenLevel
IF breakevenLevel>0 THEN
EXITSHORT AT breakevenLevel STOP
ENDIF

//stoploss for long position
If longonmarket then
//calculate the long stoploss (difference between the open price of the trade and the lowest low)
Slong = Tradeprice-Lowest [15](low)
Set stop loss Slong
Endif
 
//stoploss for short position
if shortonmarket then
//calculate the short order stoploss (difference between the open price of the trade and the highest high)
Sshort = Highest [10](high) - Tradeprice
Set stop loss Sshort
Endif


set target pprofit 100


//-------------------------------------------------------------------------
// Funzione : PRC_RSIoMA extended
//-------------------------------------------------------------------------
//PRC_RSIoMA extended | indicator
//27.08.2018
//Nicolas @ www.prorealcode.com
//Sharing ProRealTime knowledge
//converted from MT5 version

// --- settings
//RsiPeriod = 14 // Rsi period
//PriceSmoothing  = 21 // Price smoothing (<= 1 for no smoothing)
//PriceSmoothingM = 1 // Price smoothing method (MA mode)
//MinMaxPeriod    = 50 // Floating levels period (<= 1 for fixed levels)
//LevelUp         = 80.0 // Up level %
//LevelDown       = 20.0 // Down level %
// --- end of settings

RsiPrice = customclose   // Price to use
n=max(1,PriceSmoothing)
ma=average[n,PriceSmoothingM](RsiPrice)
rsioma=rsi[RsiPeriod](ma)

//levels
mmin = rsioma
mmax = rsioma
for k=1 to MinMaxPeriod-1 do
mmin=min(rsioma[k],mmin)
mmax=max(rsioma[k],mmax)
next
rrange = mmax-mmin
levelupz = mmin+LevelUp * rrange/100
leveldnz = mmin+LevelDown * rrange/100
levelmi = mmin+0.5*rrange

//colours
r=192
g=192
b=192
if rsioma>levelupz then
r=50
g=205
b=50
elsif rsioma<leveldnz then
r=255
g=165
b=0
endif

slope=rsioma-rsioma[1]

long=slope crosses over 0 and rsioma<levelupz

short=slope crosses under 0 and rsioma>levelupz

if long then
drawarrowup(rsioma,low) coloured(0,255,0)
endif

if short then
drawarrowdown(rsioma,high) coloured(255,0,0)
endif

return rsioma coloured(r,g,b) style(line,3) as "RSIoMA",levelupz coloured(50,205,50) style(dottedline,2) as "Level Up", leveldnz coloured(255,165,0) style(dottedline,2) as "Level Down", levelmi coloured(155,155,155) style(dottedline,2) as "mid level"
```
And this is a screenshot from actual live trades:

[attachment file=”REPORT PER PRT.JPG”]

As you can see, the need for having superior tfs above upperlevel (green zones) and crossing up of base tf (30m) are not respected.

Why?
08/29/2018 at 4:24 PM #79301 quote
robertogozzi
Moderator

Master
Line 6 assigns values to variables based on PRC_RSIoMA extended called from the deafult (lower, I guess) TF.

Lines 10-11, 15-16 and 21-22 reflect this behaviour, rather than referencing an indicator for their own TF. You should move line 6 to the beginning of each TF using different variable names:
```
timeframe (daily,updateonclose)
MyAvgD = close > average[20](close)

timeframe (4 hours,updateonclose)
MyAvgH4 = close > average[20](close)

timeframe (1 hours,updateonclose)
CrossingUP = average[5](close) CROSSES OVER average[20](close)

timeframe (default)
IF MyAvgD AND MyAvgH4 AND CrossingUP THEN
   BUY.....
ENDIF
```
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08/29/2018 at 4:24 PM #79302 quote

Nicolas
Keymaster

Master

Your indicator is declared and calculated in the ‘default’ timeframe and not in any other one. So, even if you are testing above/below levels in other TF, the code will always use the same indicator values.

EDIT: Faster than me Roberto! and with a more precise answer! 😉

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08/29/2018 at 5:48 PM #79304 quote

AlgoAlex
Participant

Master

Ok,

so I have to declare the Rsioma in each timeframes with different names.

I will try and let you know.

08/29/2018 at 9:17 PM #79318 quote

AlgoAlex
Participant

Master

Now what?

It says I cannot use the same variables in different timeframes.

So what should I do to exclude a variable from different tfs?

I tried “ignored2” but it doesn’t work out.

[attachment file=79319]

08/29/2018 at 9:56 PM #79324 quote
robertogozzi
Moderator

Master
You should use
```
myRSIoMAD, myLevelUpD, myLevelDownD, mymedleveD = CALL "PRC_RSIoMA extended"[14, 21, 1, 50, 80, 20](close)
```
for the DAILY TF and
```
myRSIoMA1H, myLevelUp1H, myLevelDown1H, mymedlevel1H = CALL "PRC_RSIoMA extended"[14, 21, 1, 50, 80, 20](close)
```
for the 1-hour TF.
08/29/2018 at 10:10 PM #79326 quote

AlgoAlex
Participant

Master

That was clear to me.

My question is: how can I exclude “myLevelDownD” from daily and “mymedlevel1H ” from h1? If I use “ignore” for both it gives me error like my screenshot.
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