Multi timeframe – MTF indicators for ProRealTime

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  • #166677 Report

    Thanks Nicolas,

    Agreed, it seems that the strategy back test is more accurate than the multi time frame computing within indicators. That is good to know.

    It means also that when you do calculation with MTF with recursive indicators, you may need to display a huge number of bars to get an accurate result.

    20 k bars of 1 minutes are approx 1333 bars of 15 minutes.

    I slightly changed the indicator to add a count of the number 15 minute  bars in the 1 minute graph.

    I created also an indicator to simply count the barindex on the M15 unit chart.

    Result is follows, and might explain :

     

     

    Attachments:
    #166707 Report

    Actually there is another thing that seems constant but I have not seen it documented anywhere. May be I missed something. I yes, please send me the link to the documentation.
    It seems there are always an extra 1000 bars loaded in the strategy tester / Back test WHATEVER the time frame. 1000 bars on M15, 1000 bars on M5, 1000 bars on M1 and so on.

    Is there a parameter for this setting?

     

    I modified the backtest as follows to add the number of bars seen in the BT on M15 and M1 timeframes:

    sNbBarsM15 = barindex

    and

    sNbBarsM1 = barindex

    Result is that there are 1000 more bars in the BT than displayed by an indicator :

     

     

    Attachments:
    #166718 Report

    Use

    2K are loaded by default to make sure it can calculate indicators from the first bar.

    You can also increase that numer up to 10K.

     

    1 user thanked author for this post.
    #166743 Report

    Thanks Roberto,

    I know this setting for indicators. It cannot be used inside a strategy.

    I was more speaking of what I found out for the Strategy back tester those 1000 bars added to each individual timeframe engine.

    I think that in a backtest using MTF, there are as many isolated calculation engines as the number of time frames : one engine for each time frame, and each engine has 1000 extra bars are allocated at strategy launch.

    Variables can be queried  only from another time frame space.

    I have seen no setting to change that extra 1000 bars number.

     

    #166744 Report

    That setting is for strategies, not indicators.

     

    1 user thanked author for this post.
    #166745 Report

    Thanks Roberto,

    My mistake I tested it, it does change the number of bars preloaded on strategies

    DEFPARAM PreLoadBars = 4000

    gives 4000 bars preloaded for each time frame. and

    DEFPARAM PreLoadBars = 0

    gives the same number of bars on the indicator and on the strategy. Good to double check to check indicators and backtest computing are aligned.

    it seems the default is 1000

     

     

     

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