Help with multiple timeframes

• 01/17/2020 at 4:43 PM #117094
  Thally

  Hi all,

   

  Im having an issue with live testing a system that uses multiple timeframes. The system trades using m1 bars. However, I use a filter based on daily bars that has a lookback period of 100 bars. The trouble seems to be that even when I use

  DEFPARAM PreloadBars = 10000

  1	DEFPARAM PreloadBars = 10000

  the system trades when it shouldn’t. This is evident from the fact that the backtest did not enter a trade today when I have 200,000 bars loaded. However if I adjust the number of bars in the chart it modifies my daily filter indicator.

  Does any one know how to resolve this issue and ensure that system has sufficient historical data to run the appropriate lookback on the daily timeframe.

  Thanks,

  Thally

  

  Thally

  Participant

  Topics: 25

  Replies: 56

  Been thanked: 8 times
  01/17/2020 at 9:21 PM #117125
  GraHal

  You probably do not want to … else you would have done … but the easiest for you and for us would be if you post the full code on here.

  I would run it on my Platform and others likely would spot any problems in the code.

  

  GraHal

  Participant

  Topics: 203

  Replies: 8374

  Been thanked: 2024 times
  01/17/2020 at 9:43 PM #117130
  robertogozzi

  I moved this topic to ProOrder support and deleted the other one.

  Please do not double post! Thank you 🙂

  1 user thanked author for this post.

  Thally

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16454

  Been thanked: 3636 times
  01/17/2020 at 10:20 PM #117132
  Thally

  I can’t post the whole strategy sadly as I plan on trading this live once ive ironed out this glitch. Its essentially a intraday swing system. I use the below regime filter to only trade on days when SQN is above and below a certain level. Trades are on m1 timeframe but the filter references daily bars.

  sqnLB = 100 // Regime Filer timeframe(daily, updateonclose) cldiff = close / close[1]-1 sdcldiff = STD[sqnLB](cldiff) avcldiff = Average[sqnLB](cldiff) SQN = ((avcldiff * sqrt(100)) / sdcldiff) timeframe(default)

  1 2 3 4 5 6 7 8 9

  sqnLB = 100   // Regime Filer timeframe(daily, updateonclose) cldiff = close / close[1]-1 sdcldiff = STD[sqnLB](cldiff) avcldiff = Average[sqnLB](cldiff) SQN = ((avcldiff * sqrt(100)) / sdcldiff) timeframe(default)

  The weird thing is that this indicator changes when I change the number of bars in the chart and graphonprice in the strategy backtest. This suggests that the PreloadBars = 10000 isn’t fixing the max number bars passed to the function. 

  

  Thally

  Participant

  Topics: 25

  Replies: 56

  Been thanked: 8 times
• Author
  Posts