Filter on Bigger Time Frame to trade lower time frame

• 02/15/2018 at 12:13 PM #62815
  Ivan Donatiello

  Hello everyone Ivan Donatiello Here,

  My question is the following: is it possible to trade a time frame for example at 15 minutes using a daily or higher time frame as a filter?

  For example, rule of a possible trading system.

  Time frame for example 15 min.

   

  //long condition

  • C1 = Close > MovingAverage[200] on time frame daily
  • C2 = Close < MovingAverage[10] in time frame 15 min
  • C3 = Cumulative RSI (By Nicolas) < 35

  IF C1 AND C2 AND C3 THEN

  BUY 1 CONTRACAT AT MARKET

  ENDIF

  //exit condition

  C4 = Cumulative RSI > 65

  C5 = Close > MovingAverage[10]

  IF C1 OR C2 THEN

  SELL 1 CONTRACT AT MARKET

  ENDIF

   

  It’s possibile to use a biggest time frame indicator as filter for trading system on a small time frame?

   

   

  

  Ivan Donatiello

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  02/15/2018 at 12:20 PM #62816
  robertogozzi

  No, it’s not possible as of the current version of PRT.

  We are all waiting for the new version rumoured to be ready before the end of this year, which will hopefully address that issue.

  

  robertogozzi

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  02/15/2018 at 8:14 PM #62858
  Ivan Donatiello

  Well, in my opinion PRT has excellent development potential and can compete whit the best platforms 🙂

  

  Ivan Donatiello

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  02/16/2018 at 12:59 AM #62870
  Vonasi

  Moving averages can be adapted to any time frame. On a 15 minute chart 1 hour is represented by 4 candles so one day is 4 candles x 24 hours = 96 candles. So 200 days = 200 x 96 = Average[19200]. The only limit is the data history available to you and the fact that Sundays do not have 24 candles but you should be able to get an average close to what your strategy needs if you work with this idea.

  

  Vonasi

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  02/16/2018 at 5:33 AM #62874
  robertogozzi

  Unfortunately a 100-period MA on a 15-min TF does not yields the same results as a 25-period MA on a 1-hour TF.

  

  robertogozzi

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  02/16/2018 at 5:05 PM #62934
  Vonasi

  robertogozzi wrote:

  Unfortunately a 100-period MA on a 15-min TF does not yields the same results as a 25-period MA on a 1-hour TF.

  I assume you are saying this because entry times will be different as there are four possible exit entry times in each hour if on a 15 minute chart. If trades are limited to just the last candle in each hour then the results should be the same?

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  Vonasi

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  02/17/2018 at 11:27 AM #62957
  robertogozzi

  It is clearer on even bigger/smaller TFs, say 4h and 5min.

  In the attached screenshot I highlighted the 4-hour rectangle which is mirrored on the 5-minute chart. I also placed my cursor on a single 4-hour candle which is also mirrored (grey colour) on the 5-minute chart.

  I added a 20-period MA in the 4-hour chart and a 960-period MA on the 5-minute bar (20 periods * 4 hours * 12 5-minute candles each hour).

  I circled in PURPLE the same value for MAs at cursor position. They are different values. And that deals with just MAs!

  If you deal, as I did, also with Stochastic, you’ll notice that on the 4-hour chart it’s almost always above OB, while on the 5-minute chart it travels many times from north to south in the same amount of time!

   

  

  robertogozzi

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  02/17/2018 at 12:32 PM #62963
  Vonasi

  The MA’s should be identical – I suspect the difference is just minor differences in the data between 5 minutes to 4 hours – there is only a 0.00008 difference!

  As for Stochastics – if you use an indicator with identical settings on two different time frames you should expect to get very different results!

  

  Vonasi

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  02/19/2018 at 7:13 AM #63085
  Leo

  Hi, I have a daily Moving Average for being calculated in smaller time frame.

  check at my profile in posted indicator library.

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  Ivan Donatiello

  

  Leo

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