[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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03/20/2018 at 7:01 PM #65895

picatchumm

Bonjour Nicolas,

Excellente nouvelle !
Est ce qu’un TIMEFRAME Ticks sera disponible ? Enfin c’est déjà super ce multi timeframe.
(je me doute que la charge serveur ne doit pas être la même …)

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03/21/2018 at 3:43 PM #66000

Gianluca

Nicolas wrote:

@gianluca I think you are confusing between multi-timeframe (get values from different timeframe at the same time and in the same program) and multi dimensional arrays (store values of any kind into a dynamic variables table), which are things totally different https://en.wikipedia.org/wiki/Array_data_structure

OPS 🙂

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03/30/2018 at 1:00 PM #66791

onblitz

I am waiting for a timeframe x-ticks. Best trading systems work deleting the variable time (a trader is interest to buy low and sell high, it doesn’t matter when). I really don’t understand why in prorealtime they are not allowed

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ALE

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04/04/2018 at 1:50 PM #67144

unkown0403

Is the new version of the platform already running? Today when I made the access to the platform, it made an update version….never done before…

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04/04/2018 at 2:21 PM #67146

Nicolas

@onblitz

It is not planned, but I do totally agree with your statement.

@fabioerliam

The update with MTF is due this year, but not for now..

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04/06/2018 at 11:02 AM #67420

Despair

With the new ESMA-rules ante portas the need increases to be able to retrieve account information within proorder. Besides account balance it would be also very useful to be able to retrieve how much open margin there is. In this way a strategy could check this before trying to open a new position and in this way avoid being stopped because there was not enough money on the account to cover the margin requirement.

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GraHal

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04/14/2018 at 6:20 AM #68332

Vonasi

Nicolas – I have asked this question of you in another thread but will ask it here again as it is relevant to this thread. I think you may have answered it in previous posts but I want to double check that I have understood correctly.

With the new Multi Time Frame if for example you want to look at the monthly candles, weekly candles and daily candles and decide that today is a good day to enter the market but only once the markets have opened on the hourly chart to avoid large spread then will backtesting then be limited to the shorter hourly chart history as this has to be the default time frame?

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04/16/2018 at 7:48 PM #68521

Nicolas

Yes, the backtest will be limited to the hourly timeframe, for this example.

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Vonasi

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04/16/2018 at 8:00 PM #68526

robertogozzi

But if that strategy adds your trailing stop code and it needs to be checked every 30 seconds, do we stlll backtest the 1-hour TF?

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04/16/2018 at 8:41 PM #68533

Nicolas

No, backtest should be on the 30 seconds timeframe. Code is still read only one time at bars Close.

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robertogozzi

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04/18/2018 at 12:43 PM #68678

HC

Bonjour,

Est-ce que le multi timeframe, fonctionnera avec l’ICHIMOKU

J’utilise 3 temps : 10 secondes, 1 minutes et 5 minutes

Je prends position sur 10 secondes si conditions 1 et 5 minutes réunis.

Ors dans le cas “manuel” où je créée des données 10 secondes, x6 pour la minute et x30 pour les 5 minutes je remarque que l’Ichimoku 5 minutes que je vois sur le graphique 10 secondes, n’est pas celui de l’ICHIMOKU du graphique 5 minutes.

D’ou j’espere que le multi timeframe permettrai de résoudre ce probleme.

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04/18/2018 at 1:14 PM #68681

Vonasi

Despair wrote:

it would be also very useful to be able to retrieve how much open margin there is. In this way a strategy could check this before trying to open a new position

Unfortunately I doubt that this info will ever be passed across as it is in the interests of the brokers for us to be automatically opening new trades when we are near the limit of our margin so that they can then close out a loser or two for us and make easy money from them. It is part of their business model.

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04/18/2018 at 5:20 PM #68702

Nicolas

@HC

Oui en effet cela sera possible. Il est logique que la solution de multiplication des périodes ne reflète pas tout à fait les données des timeframes supérieurs, car dans ce cas on n’indique pas à l’indicateur de caler ses débuts de calculs aux heures précises des unités de temps supérieurs, mais en plein milieu (les Close utilisés ne sont pas les mêmes).

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04/30/2018 at 11:52 PM #69538

Fr7

Hello Nicolas,

Do you have news about when the multitimeframe will be available?
Do you know if it’s before or after summer?

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05/01/2018 at 3:12 PM #69570

Nicolas

MTF will come first for prorealtime software, and later for IG/PRT-CFD customers, just like any other new features of the platform. I don’t have any update about the ETA recently, but I think it is in a good shape to be released for PRT soft in a few weeks…

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Fr7

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