[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

Viewing 15 posts - 91 through 105 (of 288 total)

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07/19/2018 at 10:49 AM #76302

robertogozzi

Yeah, I got the same message, I was using a strategy on 30-minute chart with my code dealing with 1-hour and 1-minute TFs!

I had to switch to 1-minute (all TIMEFRAMES referenced within the code MUST be multiple of the one on the chart, so the chart TF has to be equal or less than the smallest one in the code).

2 users thanked author for this post.

immo_vienna,

Andyswede

robertogozzi

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07/19/2018 at 11:32 AM #76306

immo_vienna

thanks! that was it!

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07/19/2018 at 12:36 PM #76315

Vonasi

So far MTF is working out just great.

Here is the results of a very simple long only strategy with entries and exits based purely on RSI across four time frames and with a simple bull market/bear market filter on the daily timeframe. It is traded on the DJI 5 minute chart. I like the fact that it has been consistently profitable in both trending and the recent volatile choppy markets.

Has anyone else got any good examples of MTF working well ?

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07/19/2018 at 12:51 PM #76319

immo_vienna

nice work! i am working on a TF model – but still working haha

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07/19/2018 at 1:04 PM #76320

GraHal

Vonasi wrote:

entries and exits based purely on RSI across four time frames and with a simple bull market/bear market filter on the daily timeframe. It is traded on the DJI 5 minute chart.

You big tease … let’s see what you’ve got! 🙂 🙂

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07/19/2018 at 1:11 PM #76321

Vonasi

I just tried to code something using a default chart time frame of 10 minutes with 15 minute, 30 minute, 1 hour and daily time frames and I got this error:

I’m guessing it is because 10 does not divide into fifteen. I’m not sure that I understand why we are limited to time frames that can be divided into each other but it will be something that we have to be aware of when coming up with our strategy ideas.

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07/19/2018 at 1:14 PM #76324

Vonasi

GraHal wrote:

You big tease … let’s see what you’ve got!

You show me yours and I might show you mine. Anyhow it is all in the strategy description – you just need to use the right numbers and fill in the bits of code in between them to get the same strategy.

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07/19/2018 at 1:41 PM #76326

robertogozzi

15 is not a multiple of 10, try 5 instead, so 5-15-30….

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07/19/2018 at 1:50 PM #76327

Vonasi

robertogozzi wrote:

15 is not a multiple of 10, try 5 instead, so 5-15-30….

Yes I understand the maths! I just don’t understand the logic behind the reason.

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07/19/2018 at 2:44 PM #76332

immo_vienna

u dont have to understand… 😀 its new and not perfect 😀 but i had the same problem first so thats why i changed like roberto said. better than nothing and better than without timeframe 🙂

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07/19/2018 at 6:58 PM #76344

GraHal

Not been following progress or read anything re Multi-TF as I kinda thought the coding would be complex! 🙂

Anyway jumped straight in … seems intuitive and easier / more straightforward code to get a decent result with Multi than single TF?

Attached is only 12 lines of code that even I can understand! 🙂

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07/19/2018 at 8:59 PM #76348

Vonasi

GraHal wrote:

Attached is only 12 lines of code that even I can understand!

Now you are teasing….

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07/20/2018 at 7:58 AM #76374

Sofitech

Just a question. I have an IG account (real account), but i can switch on demo account and run Prorealtime on demo. I did it and tried to run a MTF code but it did not work…
Do you know how i can have access to MTF backtest ? Is it working in France ?

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07/20/2018 at 10:14 AM #76380

GraHal

Sofitech wrote:

tried to run a MTF code but it did not work…

If you post your code on here then I would run it for you to see what I get and if I can see any issues in the code.

Seems to me the easiest / quickest way to find out if it’s your code or your Platform?

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07/22/2018 at 3:13 PM #76468

Sofitech

I did not have the opportunity to test this code as i do not have access to MTF with IG now.
But, this is a piece of code i would try to improve when I can.
It is only buy at the moment. You can make it run on EURUSD M1 to test it.. maybe it will be very bad i do not know.
The idea in the future would be to improve the MM and the exit method (Entry in M1 but manage a breakeven in M1 + exit in M5 or M15…).

// Définition
DEFPARAM CumulateOrders = False 
DEFPARAM FLATBEFORE = 090000
DEFPARAM FLATAFTER = 120000

TIMEFRAME(5 minutes)
haclose=(open+close+low+high)/4
haopen=(haopen[1]+haclose[1])/2
sto = Stochastic[5,3](close)
bull5=(haclose>haopen) and (sto>sto[1]) and (sto<80)

TIMEFRAME(15 minutes)
haclose=(open+close+low+high)/4
haopen=(haopen[1]+haclose[1])/2
sto = Stochastic[5,3](close)
bull15=(haclose>haopen) and (sto>sto[1]) and (sto<80)

TIMEFRAME(default)
haclose=(open+close+low+high)/4
haopen=(haopen[1]+haclose[1])/2
sto = Stochastic[5,3](close)
Average=Average[3]
Signal= (haclose>haopen) and (sto>sto[1]) and (sto<80) and sto CROSSES OVER average)

if bull5 and bull15 and signal then
 buy at market 
endif 

// Close position
TIMEFRAME(default)
sto = Stochastic[5,3](close)
IF sto CROSSES OVER 80 THEN
SELL AT MARKET
ENDIF

// Stops
SET STOP pLOSS 15

// Définition

DEFPARAM CumulateOrders = False

DEFPARAM FLATBEFORE = 090000

DEFPARAM FLATAFTER = 120000

TIMEFRAME(5 minutes)

haclose=(open+close+low+high)/4

haopen=(haopen[1]+haclose[1])/2

sto = Stochastic[5,3](close)

bull5=(haclose>haopen) and (sto>sto[1]) and (sto<80)

TIMEFRAME(15 minutes)

haclose=(open+close+low+high)/4

haopen=(haopen[1]+haclose[1])/2

sto = Stochastic[5,3](close)

bull15=(haclose>haopen) and (sto>sto[1]) and (sto<80)

TIMEFRAME(default)

haclose=(open+close+low+high)/4

haopen=(haopen[1]+haclose[1])/2

sto = Stochastic[5,3](close)

Average=Average[3]

Signal= (haclose>haopen) and (sto>sto[1]) and (sto<80) and sto CROSSES OVER average)

if bull5 and bull15 and signal then

buy at market

endif

// Close position

TIMEFRAME(default)

sto = Stochastic[5,3](close)

IF sto CROSSES OVER 80 THEN

SELL AT MARKET

ENDIF

// Stops

SET STOP pLOSS 15

Sofitech

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