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

Nicolas · Mon, 19 Mar 2018 15:27:01 +0000

It’s been a week since I tested, as a consultant, the new multi-timeframe features coming soon for ProBacktest / ProOrder. I admit to being really pleasantly surprised by the capabilities of this long-awaited feature. Of course, I came across some small questions about its operation, which could be due to its unfinalized version or to my misinterpretation of its behavior with respect to various scenarios. Because yes, indeed, to use several temporal dimensions require an intellectual gymnastics which can sometimes cause trouble in the developments. In short, we will have to deal with it, manage both the information of indicator data in higher timeframes, which have sometimes not yet been frozen by the closing of a candle and the management of our orders in consequence, which are managed by the Close the timeframe “default”, as is the case for example with the screeners. Same as ProScreener, this is the TIMEFRAME statement that will now be usable for automatic trading. So far, I made various tests, I will show you how it goes (not so hard to understand for our fellow coders around here 🙂 ). This is what a multitimeframe strategy code looks a like: [crayon-5b6ab8ffd8f94649362271/] This basic strategy uses: A Simple Moving Average 100 periods from the 1 hour timeframe (at Close) Smoothed Heikin Ashi from a 15 minutes timeframe (in real time) Stochastic of the default timeframe (at Close) Takeprofit/Stoploss values from an ATR calculated in the 15 minutes TF Trading decisions and orders management in the default timeframe, which is the 5 minutes in this example The GRAPH instruction is your new friend! 🙂 If you are interested, I will be able to test some codes that you want to post, or to share ideas that I can code myself. This will allow me to familiarize myself with the use of this new tool, but also why not, hunt for bugs, testing as many scenarios as possible. July 25th EDIT: the MTF functionalities are now available through IG and PRT sponsored for demo accounts. A short video made by PRT about the new engine and the MTF capabilities: I also made a blog post to explain what you can expect and what you can now do with MTF: First approach to multi timeframe trading with ProRealTime August 8th EDIT: documentation is updated, see here: TIMEFRAME (ProBacktest / ProOrder)

This topic has 287 replies, 47 voices, and was last updated 4 years ago by Brianoshea.

Tagged: mtf, multitimeframe

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12/04/2018 at 9:10 AM #86284

jonjon

Hi Nicolas

As far as you know, is it still January for MTF for ProBuilder (on a demo account and also live on a Interactive Brokers account)?

Thanks

Jonathan

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12/04/2018 at 9:28 AM #86286
Nicolas
vinze wrote:

the best ways to follow the trend is to get a MTF convergence. Isn’t it?

This is an assumption frequently observed, while being not a definitive answer to “how to follow effectively the trend” 🙂

Yes, we are a bit off topic, that’s not important as your questions are very interesting.

Yes because this is the main purpose of MTF and No because as I’m used to say that, things are already difficult enough and if you are already in green at the end of the period you are considering to make the review of your results, then you are already good and don’t change anything 😉 Money management, diversification and decorrelation are the main factors to build a successful portfolio IMO.

Right, and that’s the case. You should get involved in well known strategies like double momentum, cumulative RSI and all RSI2 variants, IBS, pair trading, cointegration, and all kind of data mining setups

There are many topics talking about curve fitting, equity curve overfitting, Walk Forward Analysis with In Sample and Out Of Sample periods. Also in blog articles.

Briefly, most of the work for an automatic trader is not to discover a strategy, but that it is robust enough that it continues to perform as well the day after it goes into production. Good luck.

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12/04/2018 at 9:55 AM #86292

Nicolas

jonjon wrote:

MTF for ProBuilder (on a demo account and also live on a Interactive Brokers account)?

MTF for ProOrder (automatic trading) is already available for paper trading with PRT software. But real time automatic trading with an IB account has never be part of the update.

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12/04/2018 at 12:22 PM #86297

jonjon

Hi Nicolas

“But real time automatic trading with an IB account has never be part of the update.”

I was aware of this. What I meant was to have MTF for my indicators (built through ProBuilder) on my IB account. You earlier mentioned that this was possibly happening in January. The plan is to then have associated orders triggered by these indicators….a sort of automated order entry.

Thanks

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12/04/2018 at 12:28 PM #86298

Nicolas

MTF is for automatic trading, it means that you are able to get other timeframes values from any indicator. So if you want to build trading signals based on indicators but from different timeframes all together, it is possible, but only through ProBacktest/ProOrder. The blog article “First approach to multi timeframe trading with ProRealTime” is a good introduction to MTF and all its possibility.

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12/04/2018 at 12:57 PM #86300

jonjon

Thanks Nicolas. I understand that and I have looked at the blog. I asked you a Q in the blog (it’s the last one there). I want to make a bespoke indicator in ProBuilder and incorporate MTF into that. I then want to trigger orders from my bespoke indicator (which I already do, but of course not with MTF data).

Your reply 60 days ago was “PRT should work on MTF for ProBuilder next year, as an update of the v11 to come, from the last news I have.”

I also contacted PRT a while ago and they mentioned this should be possible around January.

I wanted to check that this was still the case as far as you were aware.

Thanks

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12/04/2018 at 1:37 PM #86301

Nicolas

Well, I will be able to get my hands on v11 alpha stage in January. What I told weeks ago in another post is still true, but I think it will be an extension to the v11, and not directly incorporated in its initial release.

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01/14/2019 at 5:26 AM #88513

Stam

I had trades executed on the live account which were clearly a bug and did not show up on back testing. I was told to stop using MTF until further notice, that was almost 3 months ago… Still waiting and no word or any update as to when the bugs will be fixed.

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01/14/2019 at 8:52 AM #88517

Nicolas

MTF is now activated by default for DEMO accounts. For live ones, you can ask your broker to activate it for you. I don’t know about the specific bugs you are talking about, but the actual version of MTF has been upgraded since its debut launch last year.

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01/14/2019 at 10:55 AM #88530

Vonasi

As MTF has not been officially added to everyone’s live accounts it is still technically under beta testing – and so if you request to put it live and trade with real money then you are doing so at your own risk I guess. If you find a bug that costs you money then you might have only yourself to answer to!

Personally I am testing in demo and waiting patiently for the official release and even then I might wait a bit to see what bugs still crop up. Then again I have a policy to never buy the v1.0 of anything!

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01/16/2019 at 6:00 PM #88845

O-jay8

Hey Guys,

How is it going with MTF. Did you find some potential profitable strategies already.

When time is available I try to play around in the hope to find something which could be promising. It seems the possibilities are endless but I honestly/mistakenly thought is gonna be easier. So far I tested a bit with MACD, Stochastic, RSI, Moving averages in different markets. On the highest time frame I usually want to make sure I go with tyhe trend. I can only test it with 100,000 bars as MTF trading is only possible on Demo which is a bit annoying. (I asked for live trading but they told me they will only activate it when they fixed some issues). So I dont get as much history as I would like to.

I tested a strategy where when x- consecutive bars are long/short in 4h TF, then check whether their is a reversal in the lower timeframe 1h. I used exponantial averages for that. Attached my results for AUDCHF. It could look promising but I still struggle as I have only 43 trades and fear it is statistically irrelevant.

I tested this strategy first on a daily timeframe without MTF and it looked quite promising for a lot of indices (mostly Long trades) but even better for Forex.

Please feel free to comment.

Best regards

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01/17/2019 at 12:25 PM #88910

virtualg

Hello and good morning.

i would like know if is possibile receive an alert via email after a specific event trigged by a multitimeframe program.

I have coded a multitimeframe strategy but I would like receive the alert in order to proceed with a manual order on the market..

Thanks a lot,

leonardo

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01/17/2019 at 12:47 PM #88913

GraHal

O-jay8 wrote:

I tested a strategy where when x- consecutive bars are long/short in 4h TF, then check whether their is a reversal in the lower timeframe 1h

Results look good, but seems a long time to wait with < 1 trade per month (43 trades over 4 years)?

What do the results look like if consecutive bars are on 1H TF and Lower TF is 15min (or even 15min and 5min)

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01/17/2019 at 12:51 PM #88914

robertogozzi

virtualg wrote:

Hello and good morning.

i would like know if is possibile receive an alert via email after a specific event trigged by a multitimeframe program.

I have coded a multitimeframe strategy but I would like receive the alert in order to proceed with a manual order on the market..

Thanks a lot,

leonardo

ProOrder cannot trigger alerts of any kind and there’s no difference between MTF and non-MTF strategies, MTF means “Multiple Time Frames” so the same strategy may or may not use more than one TF, but the behaviour is the same.

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01/17/2019 at 1:34 PM #88924

Nicolas

virtualg wrote:

I have coded a multitimeframe strategy but I would like receive the alert in order to proceed with a manual order on the market..

You can code a MTF strategy and let it run continuously in real time in ProBacktest, each time a new condition to open an order is met, a new window will appear on the screener. That way, you are alerted of when to open manually an order.

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