Multi timeframe – MTF indicators for ProRealTime

• 06/30/2022 at 9:49 PM #196495
  jacksonliam341

  I use PRT V10.3 currently after viewing this and it appears to work on 10.3.

  I’m trying live and have tried on demo, also backtesting.

  So for instance running a trail updating on a lower timeframe to check price regularly instead of the entry timeframe bars is working withuot issue live.

  It works well. I dont see here that it is released, so hopefully I wont run into any issues.

  I’m running 10.3 premium. Can I assume it is currently released as usable?

  

  jacksonliam341

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  09/06/2022 at 2:45 PM #200246
  jrh_han

  I wonder why my Code is not runnig on a daily chart. Used TF’s are yearly and monthly – to my understandig both multiples of 1 day

  I appreciate, if you could check for the reason. Even after hours of testing I was not able to get an idea.

  The idea behind is, to perform a performance check on shares and to show the result as text in the chart. The return values are foreseen for usage in a screener.

  Only InputValue is “BerechnungsPeriodeJahre” = calculation period in years. Meaning how far the lookback shall be in years.

  On yearly basis on a per anno yield is calculated, on monthly basis then other performance values.

  Performance Measurement

  defparam DRAWONLASTBARONLY = true timeframe(yearly) // Als Startwert für Zuwachs-/PARmax Berechnung wird das höchste historische Close bis zum Beginn der // Berechnungsperiode gewählt, jedoch max. 5 Jahre zurück // Dadurch wird ein zu positives Ergebnis wegen eines zwischenzeitlichen, zum Beginn der // Berechnungsperiode noch nicht beendeten DrawDowns vermieden lookBack = 5 if islastbarupdate and barindex > lastcalcyearlybarindex then for y = BerechnungsPeriodeJahre + lookBack downto BerechnungsPeriodeJahre + 1 do curhighestclose = max(curhighestclose, close[y]) if curhighestclose > prevvalue then highjahr = year - y prevvalue = curhighestclose endif next if open[BerechnungsPeriodeJahre] >= curhighestclose then highjahr = Year[BerechnungsPeriodeJahre] endif // Startwerte = Werte am Anfang der Berechnungsperiode bedopen = open[BerechnungsPeriodeJahre] >= curhighestclose firstopen = max(open[BerechnungsPeriodeJahre], curhighestclose) StartJahr = Year[BerechnungsPeriodeJahre] auswertungszeitraumJ = Year - StartJahr + (days - days[1])/365 lastcalcyearlybarindex = barindex endif timeframe(monthly) BerechnungsPeriodeMonate = round(auswertungszeitraumJ*12) //// MonatsSchlusskurse speichern $MClose[barindex] = close if IsLastBarUpdate then if barindex > lastcalcmonthlybarindex then for m = BerechnungsPeriodeMonate downto 0 do // Datenerfassung für Draw Down Berechnungen highestOC = max(highestOC, max(close[m], open[m])) lowestclose = min(close[m], lowestclose) if (highestOC > prevhighestOC) then prevhighestOC = highestOC lowestclose = highestOC endif if lowestclose < prevhighestOC then currDrawDownmax = max(currDrawDownmax, 1 - lowestClose / highestOC) elsif lowestclose >= prevhighestOC then GesamtSummeDrawDowns = GesamtSummeDrawDowns + currDrawDownmax currDrawDownmax = 0 endif // Datenerfassung für monatliches Verlustrisiko für beendete Monate, zeitliche Gewichtung // Gewichtungsfaktor: letzter Monat = BerechnungsPeriodeMonate, erster Monat = 1 if m > 0 then gewichtungsfaktor = BerechnungsPeriodeMonate - m + 1 if close[m] < open[m] then VerlustMonate = VerlustMonate + 1 sumgewichteterVerlustMonatlich = sumgewichteterVerlustMonatlich + (1 - close[m]/open[m]) * gewichtungsfaktor sumGewichtungsfaktorVerlust = sumGewichtungsfaktorVerlust + gewichtungsfaktor endif else gewichtungsfaktor = 0 endif next //Datenerfassung für variable GewinnKonstanzVarZeitraum for firstmonth = lastset($MClose) - BerechnungsPeriodeMonate to lastset($MClose) do for nextmonths = firstmonth + 1 to lastset($MClose) - 1 do if $MClose[nextmonths] > $MClose[firstmonth] then GewinnPerioden = GewinnPerioden + 1 endif AnzahlPerioden = AnzahlPerioden + 1 next next // Auf letztem Balken Wert für Summe DD berechnen, auch wenn DD noch nicht beendet ist if currDrawDownmax > 0 then GesamtSummeDrawDowns = GesamtSummeDrawDowns + currDrawDownmax endif lastcalcmonthlybarindex = barindex endif //if barindex > lastcalcmonthlybarindex // VERLUSTRISIKO MONATLICHER ZEITRAUM // Häufigkeit mit der eine Anlage zu Monatsbeginn mit einer Anlagedauer von 1 Monat im // Betrachtungszeitraum zu einem negativen Ergebnis geführt hätte monatlicheVerlustwahrscheinlichkeit = VerlustMonate / BerechnungsPeriodeMonate gewichteterDurchschnittVerlust = sumgewichteterVerlustMonatlich / sumGewichtungsfaktorVerlust monatlichesVerlustRatio = monatlicheVerlustwahrscheinlichkeit * gewichteterDurchschnittVerlust // GEWINNKONSTANZ VARIABLER ZEITRAUM // Häufigkeit, mit der eine monatliche Anlage mit beliebiger Anlagedauer im // Betrachtungszeitraum zu einem positives Ergebnis geführt hätte GewinnKonstanzVarZeitraum = GewinnPerioden/AnzahlPerioden // WERTZUWACHS /////////////////////////////////////////////////////////////// highestZuwachs = highestOC/firstopen - 1 currZuwachs = Close/firstopen - 1 // HÖCHSTE PER ANNO RENDITE // Rendite p.a. = (1 + Wertentwicklung) ^ (365 / Tage) - 1 // PARmax = POW(1 + Zuwachs, potenz) - 1 // y = x ^ p muss wegen PRT Fehler wie folgt codiert werden: y = EXP(p * LOG(x)) /////////////////////////////////////////////////////////////// potenz = 1 / auswertungszeitraumJ PARmax = exp(potenz * log(1 + highestZuwachs)) - 1 // WAHRSCHEINLICHE PARmax if (PARmax >= 0) then WahrscheinlichePARmax = PARmax * GewinnKonstanzVarZeitraum else WahrscheinlichePARmax = PARmax / GewinnKonstanzVarZeitraum endif // CRV /////////////////////////////////////////////////////////////// if GesamtSummeDrawDowns > 0 then CRV = highestZuwachs / GesamtSummeDrawDowns else CRV = highestZuwachs endif //ALL IN ONE KENNZAHL RisikoAdjustiertePerformanceKennzahl = WahrscheinlichePARmax * CRV / monatlichesVerlustRatio // TÄGLICHES HANDELSVOLUMEN IM BETRACHTUNGSZEITRAUM tagepromonat = 20 avgdailyvolume = summation[BerechnungsPeriodeMonate](volume) / (tagepromonat * BerechnungsPeriodeMonate) endif // IsLastBarUpdate TF monthly timeframe(default) // RUNDUNG FÜR BESSERE DARSTELLUNG /////////////////////////////////////////////////////////////// currZuwachsvH = round(currZuwachs * 100) highestZuwachsvH = round(highestZuwachs * 100) PARmaxvH = round(PARmax * 100) GewinnKonstanzVarZeitraumrounded = round(GewinnKonstanzVarZeitraum * 100,1) currDrawDownMaxvH = round(currDrawDownmax * 100) CRVrounded = round(Max(1, CRV)) WahrscheinlichePARmaxrounded = round(WahrscheinlichePARmax * 100,0) SummeDrawDownsvH = round(GesamtSummeDrawDowns * 100) lastcloserounded = round(close * 100) / 100 firstopenrounded = round(firstopen * 100) / 100 highestOCrounded = round(highestOC * 100) / 100 lowestCloserounded = round(lowestClose * 100) / 100 auswertungszeitraumJrounded = round(auswertungszeitraumJ,1) monatlichesVerlustRatiovH = round(monatlichesVerlustRatio * 100,1) RisikoAdjustiertePerformanceKennzahlrounded = round(RisikoAdjustiertePerformanceKennzahl/10,1) avgdailyvolumerounded = round(avgdailyvolume) // ZUSATZINFORMATIONEN IM INDIKATORCHART ANZEIGEN /////////////////////////////////////////////////////////////// offsethor = MoveRightLeftFaktor // horizontale Pos. vom Ankerpunkt offsethorsp2 = offsethor + 175 offsetver = 10 * MoveUpDownFaktor // vertikale Pos. vom Ankerpunkt step = -22 // Schrittweite vertikale Pos. für verschiedene Zeilen zeilen = 0 Drawtext("AUSWERTUNGZEITRAUM #auswertungszeitraumJrounded#J ab 01 / #StartJahr#", offsethor+50, offsetver + zeilen * step, SansSerif, Bold, 15) coloured( 72, 118, 255) anchor (left) zeilen = 1.5 + zeilen dist = 20 Drawtext("PerformanceKennzahl", offsethor - dist, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(200, 0, 200) anchor (left) Drawtext("#RisikoAdjustiertePerformanceKennzahlrounded#", offsethorsp2 , offsetver + zeilen * step, SansSerif, Bold, 15) coloured(200, 0, 200) anchor (left) zeilen = 1.5 + zeilen Drawtext("PARmax", offsethor - 3 * dist - 10, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(0, 125 ,0) anchor (left) Drawtext("avg #PARmaxvH# % p.a.", offsethorsp2, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(0, 125 ,0) anchor (left) zeilen = 1 + zeilen Drawtext("GewinnKonstanz langfristig", offsethor - 2, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(0, 125 ,0) anchor (left) Drawtext("#GewinnKonstanzVarZeitraumrounded# %", offsethorsp2, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(0, 125 ,0) anchor (left) zeilen = 1 + zeilen Drawtext("WahrscheinlichePARmax", offsethor - 13, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(0, 125 ,0) anchor (left) Drawtext("avg #WahrscheinlichePARmaxrounded# % p.a.", offsethorsp2, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(0, 125 ,0) anchor (left) zeilen = 1.5 + zeilen Drawtext("CRV", offsethor - 4 * dist - 4, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(250, 200, 250) anchor (left) Drawtext("#CRVrounded# ", offsethorsp2, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(250, 200, 250) anchor (left) zeilen = 1 + zeilen Drawtext("VerlustRatio monatl.", offsethor - 1.4 * dist, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(250, 200, 250) anchor (left) Drawtext("#monatlichesVerlustRatiovH#", offsethorsp2, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(250, 200, 250) anchor (left) zeilen = 1.5 + zeilen Drawtext("last highest Close", offsethor - 1.5 * dist - 6, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(238,59,59) anchor (left) Drawtext("#highestOCrounded# Pkte", offsethorsp2, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(238,59,59) anchor (left) zeilen = 1 + zeilen Drawtext("last Lowest Close", offsethor - 1.5 * dist - 6, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(238,59,59) anchor (left) Drawtext("#lowestCloserounded# Pkte", offsethorsp2, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(238,59,59) anchor (left) zeilen = 1 + zeilen Drawtext("curr. DrawDown max.", offsethor - dist - 4, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(238,59,59) anchor (left) Drawtext("#currDrawDownMaxvH# %", offsethorsp2, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(238,59,59) anchor (left) zeilen = 1 + zeilen Drawtext("Summe DrawDowns", offsethor - dist - 10, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(238,59,59) anchor (left) Drawtext("#SummeDrawDownsvH# %", offsethorsp2, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(238,59,59) anchor (left) zeilen = 1.5 + zeilen if not bedopen then Drawtext("First Open = Close #highjahr#", offsethor - 12, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(100, 100 , 255) anchor (left) else Drawtext("First Open = Open #StartJahr#", offsethor - 12, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(100, 100 , 255) anchor (left) endif Drawtext("#firstopenrounded# Pkte", offsethorsp2, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(100, 100 , 255) anchor (left) zeilen = 1 + zeilen Drawtext("Today Close", offsethor - 2.5 * dist - 7, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(100, 100 , 255) anchor (left) Drawtext("#lastcloserounded# Pkte", offsethorsp2, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(100, 100 , 255) anchor (left) zeilen = 1 + zeilen Drawtext("Zuwachs höchster", offsethor - 1.5 * dist - 5, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(100, 100, 255) anchor (left) Drawtext("#highestZuwachsvH# %", offsethorsp2, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(100, 100, 255) anchor (left) zeilen = 1 + zeilen Drawtext("Zuwachs akt.", offsethor - 2.5 * dist - 4, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(100, 100, 255) anchor (left) Drawtext("#currZuwachsvH# %", offsethorsp2, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(100, 100, 255) anchor (left) zeilen = 1 + zeilen Drawtext("avg. daily Volume", offsethor - 1.5 * dist - 8, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(100, 100, 255) anchor (left) Drawtext("#avgdailyvolumerounded# ", offsethorsp2, offsetver + zeilen * step, SansSerif, Bold, 15) coloured(100, 100, 255) anchor (left) // AUSGABE DES ERGEBNISSES /////////////////////////////////////////////////////////////// return RisikoAdjustiertePerformanceKennzahlrounded as "PerformanceKennzahl", highestOC as "highest Close", lowestClose as "lowest Close", close as "last Close", avgdailyvolume as "AVG Daily Volume"

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  defparam DRAWONLASTBARONLY = true   timeframe(yearly) // Als Startwert für Zuwachs-/PARmax Berechnung wird das höchste historische Close bis zum Beginn der // Berechnungsperiode gewählt, jedoch max. 5 Jahre zurück // Dadurch wird ein zu positives Ergebnis wegen eines zwischenzeitlichen, zum Beginn der // Berechnungsperiode noch nicht beendeten DrawDowns vermieden   lookBack = 5   if islastbarupdate and barindex > lastcalcyearlybarindex then for y = BerechnungsPeriodeJahre + lookBack downto BerechnungsPeriodeJahre + 1 do curhighestclose = max(curhighestclose, close[y]) if curhighestclose > prevvalue then highjahr = year - y prevvalue = curhighestclose endif next   if open[BerechnungsPeriodeJahre] >= curhighestclose then highjahr = Year[BerechnungsPeriodeJahre] endif   // Startwerte = Werte am Anfang der Berechnungsperiode bedopen              = open[BerechnungsPeriodeJahre] >= curhighestclose firstopen            = max(open[BerechnungsPeriodeJahre], curhighestclose) StartJahr            = Year[BerechnungsPeriodeJahre] auswertungszeitraumJ = Year - StartJahr + (days - days[1])/365   lastcalcyearlybarindex = barindex endif   timeframe(monthly) BerechnungsPeriodeMonate = round(auswertungszeitraumJ*12)   //// MonatsSchlusskurse speichern $MClose[barindex] = close   if IsLastBarUpdate then if barindex > lastcalcmonthlybarindex then for m = BerechnungsPeriodeMonate downto 0 do // Datenerfassung für Draw Down Berechnungen highestOC = max(highestOC, max(close[m], open[m])) lowestclose  = min(close[m], lowestclose)   if (highestOC > prevhighestOC) then prevhighestOC = highestOC lowestclose      = highestOC endif   if lowestclose < prevhighestOC then currDrawDownmax    = max(currDrawDownmax, 1 - lowestClose / highestOC) elsif lowestclose >= prevhighestOC then GesamtSummeDrawDowns = GesamtSummeDrawDowns + currDrawDownmax currDrawDownmax = 0 endif   // Datenerfassung für monatliches Verlustrisiko für beendete Monate, zeitliche Gewichtung // Gewichtungsfaktor: letzter Monat = BerechnungsPeriodeMonate, erster Monat = 1 if m > 0 then gewichtungsfaktor = BerechnungsPeriodeMonate - m + 1 if close[m] < open[m] then VerlustMonate = VerlustMonate + 1 sumgewichteterVerlustMonatlich = sumgewichteterVerlustMonatlich + (1 - close[m]/open[m]) * gewichtungsfaktor sumGewichtungsfaktorVerlust = sumGewichtungsfaktorVerlust + gewichtungsfaktor endif else gewichtungsfaktor = 0 endif next   //Datenerfassung für variable GewinnKonstanzVarZeitraum for firstmonth =  lastset($MClose) - BerechnungsPeriodeMonate to lastset($MClose) do for nextmonths = firstmonth + 1 to lastset($MClose) - 1 do if $MClose[nextmonths] > $MClose[firstmonth] then GewinnPerioden = GewinnPerioden + 1 endif AnzahlPerioden = AnzahlPerioden + 1 next next   // Auf letztem Balken Wert für Summe DD berechnen, auch wenn DD noch nicht beendet ist if currDrawDownmax > 0 then GesamtSummeDrawDowns = GesamtSummeDrawDowns + currDrawDownmax endif   lastcalcmonthlybarindex = barindex endif  //if barindex > lastcalcmonthlybarindex   // VERLUSTRISIKO MONATLICHER ZEITRAUM // Häufigkeit mit der eine Anlage zu Monatsbeginn mit einer Anlagedauer von 1 Monat im // Betrachtungszeitraum zu einem negativen Ergebnis geführt hätte monatlicheVerlustwahrscheinlichkeit = VerlustMonate / BerechnungsPeriodeMonate gewichteterDurchschnittVerlust = sumgewichteterVerlustMonatlich / sumGewichtungsfaktorVerlust monatlichesVerlustRatio = monatlicheVerlustwahrscheinlichkeit * gewichteterDurchschnittVerlust   // GEWINNKONSTANZ VARIABLER ZEITRAUM // Häufigkeit, mit der eine monatliche Anlage mit beliebiger Anlagedauer im // Betrachtungszeitraum zu einem positives Ergebnis geführt hätte GewinnKonstanzVarZeitraum = GewinnPerioden/AnzahlPerioden   // WERTZUWACHS /////////////////////////////////////////////////////////////// highestZuwachs = highestOC/firstopen - 1 currZuwachs    = Close/firstopen - 1   // HÖCHSTE PER ANNO RENDITE // Rendite p.a. = (1 + Wertentwicklung) ^ (365 / Tage) - 1 // PARmax = POW(1 + Zuwachs, potenz) - 1 // y = x ^ p muss wegen PRT Fehler wie folgt codiert werden: y = EXP(p * LOG(x)) /////////////////////////////////////////////////////////////// potenz = 1 / auswertungszeitraumJ PARmax = exp(potenz * log(1 + highestZuwachs)) - 1   // WAHRSCHEINLICHE PARmax if (PARmax >= 0) then WahrscheinlichePARmax = PARmax * GewinnKonstanzVarZeitraum else WahrscheinlichePARmax = PARmax / GewinnKonstanzVarZeitraum endif   // CRV /////////////////////////////////////////////////////////////// if GesamtSummeDrawDowns > 0 then CRV = highestZuwachs / GesamtSummeDrawDowns else CRV = highestZuwachs endif   //ALL IN ONE KENNZAHL RisikoAdjustiertePerformanceKennzahl = WahrscheinlichePARmax * CRV / monatlichesVerlustRatio     // TÄGLICHES HANDELSVOLUMEN IM BETRACHTUNGSZEITRAUM tagepromonat = 20 avgdailyvolume = summation[BerechnungsPeriodeMonate](volume) / (tagepromonat * BerechnungsPeriodeMonate)     endif // IsLastBarUpdate TF monthly   timeframe(default) // RUNDUNG FÜR BESSERE DARSTELLUNG /////////////////////////////////////////////////////////////// currZuwachsvH                    = round(currZuwachs * 100) highestZuwachsvH                 = round(highestZuwachs * 100) PARmaxvH                         = round(PARmax * 100) GewinnKonstanzVarZeitraumrounded = round(GewinnKonstanzVarZeitraum * 100,1) currDrawDownMaxvH                = round(currDrawDownmax * 100) CRVrounded                       = round(Max(1, CRV)) WahrscheinlichePARmaxrounded     = round(WahrscheinlichePARmax * 100,0) SummeDrawDownsvH                 = round(GesamtSummeDrawDowns * 100) lastcloserounded                 = round(close * 100) / 100 firstopenrounded                 = round(firstopen * 100) / 100 highestOCrounded                 = round(highestOC * 100) / 100 lowestCloserounded               = round(lowestClose * 100) / 100 auswertungszeitraumJrounded      = round(auswertungszeitraumJ,1) monatlichesVerlustRatiovH        = round(monatlichesVerlustRatio * 100,1) RisikoAdjustiertePerformanceKennzahlrounded = round(RisikoAdjustiertePerformanceKennzahl/10,1) avgdailyvolumerounded                       = round(avgdailyvolume)   // ZUSATZINFORMATIONEN IM INDIKATORCHART ANZEIGEN /////////////////////////////////////////////////////////////// offsethor = MoveRightLeftFaktor   // horizontale Pos. vom Ankerpunkt offsethorsp2 = offsethor + 175 offsetver = 10 * MoveUpDownFaktor      // vertikale Pos. vom Ankerpunkt step      = -22                        // Schrittweite vertikale Pos. für verschiedene Zeilen zeilen    = 0   Drawtext("AUSWERTUNGZEITRAUM #auswertungszeitraumJrounded#J ab 01 / #StartJahr#",    offsethor+50,  offsetver + zeilen * step, SansSerif, Bold, 15) coloured( 72, 118, 255) anchor  (left)   zeilen = 1.5 + zeilen dist = 20 Drawtext("PerformanceKennzahl",                            offsethor - dist,  offsetver + zeilen * step,   SansSerif, Bold, 15) coloured(200, 0, 200)   anchor (left) Drawtext("#RisikoAdjustiertePerformanceKennzahlrounded#",  offsethorsp2 ,     offsetver + zeilen * step,   SansSerif, Bold, 15) coloured(200, 0, 200)   anchor (left)   zeilen = 1.5 + zeilen Drawtext("PARmax",                   offsethor - 3 * dist - 10,  offsetver + zeilen * step,   SansSerif, Bold, 15) coloured(0, 125 ,0) anchor (left) Drawtext("avg   #PARmaxvH# % p.a.",  offsethorsp2,               offsetver + zeilen * step,   SansSerif, Bold, 15) coloured(0, 125 ,0) anchor (left)   zeilen = 1 + zeilen Drawtext("GewinnKonstanz langfristig",            offsethor - 2,  offsetver + zeilen * step,   SansSerif, Bold, 15) coloured(0, 125 ,0) anchor (left) Drawtext("#GewinnKonstanzVarZeitraumrounded# %",  offsethorsp2,   offsetver + zeilen * step,   SansSerif, Bold, 15) coloured(0, 125 ,0) anchor (left)     zeilen = 1 + zeilen Drawtext("WahrscheinlichePARmax",                       offsethor - 13,  offsetver + zeilen * step,   SansSerif, Bold, 15) coloured(0, 125 ,0) anchor (left) Drawtext("avg   #WahrscheinlichePARmaxrounded# % p.a.", offsethorsp2,    offsetver + zeilen * step,   SansSerif, Bold, 15) coloured(0, 125 ,0) anchor (left)     zeilen = 1.5 + zeilen Drawtext("CRV",            offsethor - 4 * dist - 4,  offsetver + zeilen * step,    SansSerif, Bold, 15) coloured(250, 200, 250) anchor (left) Drawtext("#CRVrounded# ",  offsethorsp2,              offsetver + zeilen * step,    SansSerif, Bold, 15) coloured(250, 200, 250) anchor (left)   zeilen = 1 + zeilen Drawtext("VerlustRatio monatl.",     offsethor - 1.4 * dist,  offsetver + zeilen * step,    SansSerif, Bold, 15) coloured(250, 200, 250) anchor (left) Drawtext("#monatlichesVerlustRatiovH#", offsethorsp2,    offsetver + zeilen * step,    SansSerif, Bold, 15) coloured(250, 200, 250) anchor (left)     zeilen = 1.5 + zeilen Drawtext("last highest Close",          offsethor - 1.5  * dist - 6,  offsetver + zeilen * step,   SansSerif, Bold, 15) coloured(238,59,59) anchor (left) Drawtext("#highestOCrounded# Pkte",  offsethorsp2,                 offsetver + zeilen * step,   SansSerif, Bold, 15) coloured(238,59,59) anchor (left)   zeilen = 1 + zeilen Drawtext("last Lowest Close",          offsethor - 1.5  * dist - 6,  offsetver + zeilen * step,   SansSerif, Bold, 15) coloured(238,59,59) anchor (left) Drawtext("#lowestCloserounded# Pkte",  offsethorsp2,                 offsetver + zeilen * step,   SansSerif, Bold, 15) coloured(238,59,59) anchor (left)   zeilen = 1 + zeilen Drawtext("curr. DrawDown max.",         offsethor - dist - 4,  offsetver + zeilen * step,   SansSerif, Bold, 15) coloured(238,59,59) anchor (left) Drawtext("#currDrawDownMaxvH# %",       offsethorsp2,          offsetver + zeilen * step,   SansSerif, Bold, 15) coloured(238,59,59) anchor (left)   zeilen = 1 + zeilen Drawtext("Summe DrawDowns",              offsethor - dist - 10,  offsetver + zeilen * step,   SansSerif, Bold, 15) coloured(238,59,59) anchor (left) Drawtext("#SummeDrawDownsvH# %",         offsethorsp2,           offsetver + zeilen * step,   SansSerif, Bold, 15) coloured(238,59,59) anchor (left)   zeilen = 1.5 + zeilen if not bedopen then Drawtext("First Open = Close #highjahr#",  offsethor - 12,  offsetver + zeilen * step,   SansSerif, Bold, 15) coloured(100, 100 , 255) anchor (left) else Drawtext("First Open = Open #StartJahr#",  offsethor - 12,  offsetver + zeilen * step,   SansSerif, Bold, 15) coloured(100, 100 , 255) anchor (left) endif Drawtext("#firstopenrounded# Pkte",      offsethorsp2,         offsetver + zeilen * step,   SansSerif, Bold, 15) coloured(100, 100 , 255) anchor (left)   zeilen = 1 + zeilen Drawtext("Today Close",                offsethor - 2.5 * dist - 7,  offsetver + zeilen * step,   SansSerif, Bold, 15) coloured(100, 100 , 255) anchor (left) Drawtext("#lastcloserounded# Pkte",    offsethorsp2,                offsetver + zeilen * step,   SansSerif, Bold, 15) coloured(100, 100 , 255) anchor (left)   zeilen = 1 + zeilen Drawtext("Zuwachs höchster",            offsethor - 1.5 * dist - 5,  offsetver + zeilen * step,   SansSerif, Bold, 15)  coloured(100, 100, 255) anchor (left) Drawtext("#highestZuwachsvH# %",        offsethorsp2,                offsetver + zeilen * step,   SansSerif, Bold, 15)  coloured(100, 100, 255) anchor (left)   zeilen = 1 + zeilen Drawtext("Zuwachs akt.",                offsethor - 2.5 * dist - 4,  offsetver + zeilen * step,   SansSerif, Bold, 15)  coloured(100, 100, 255) anchor (left) Drawtext("#currZuwachsvH# %",            offsethorsp2,                offsetver + zeilen * step,   SansSerif, Bold, 15)  coloured(100, 100, 255) anchor (left)   zeilen = 1 + zeilen Drawtext("avg. daily Volume",            offsethor - 1.5 * dist - 8,  offsetver + zeilen * step,   SansSerif, Bold, 15)  coloured(100, 100, 255) anchor (left) Drawtext("#avgdailyvolumerounded# ",     offsethorsp2,                offsetver + zeilen * step,   SansSerif, Bold, 15)  coloured(100, 100, 255) anchor (left)     // AUSGABE DES ERGEBNISSES /////////////////////////////////////////////////////////////// return RisikoAdjustiertePerformanceKennzahlrounded as "PerformanceKennzahl", highestOC as "highest Close", lowestClose as "lowest Close", close as "last Close", avgdailyvolume as "AVG Daily Volume"

  

  jrh_han

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  09/07/2022 at 8:15 AM #200260
  Nicolas

  I tried but I dont know what values you are using some of your variable settings (see attached).

  Also be sure to have sufficient units displayed in order for your calculation to get values for yearly and monthly timeframes.

  

  Nicolas

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  09/07/2022 at 8:54 AM #200271
  jrh_han

  Thank you Nicolas – it was the unsufficient number of units displayed. Sorry for inconvenience, I should have found this reason myself.

  Roger

   

  

  jrh_han

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  01/13/2023 at 12:59 PM #207345
  TraderArun

  Hi

  The below timeframe is not supported

  TIMEFRAME(6 HOUR)

  1	TIMEFRAME(6 HOUR)

  Is there any alternative way I can run this?

  Thanks

  

  TraderArun

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  01/13/2023 at 1:25 PM #207350
  Nicolas

  It’s working just fine for indicators programming, are you trying with a screener code?

  

  Nicolas

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  01/13/2023 at 1:44 PM #207357
  TraderArun

  Nicolas wrote:

  It’s working just fine for indicators programming, are you trying with a screener code?

  Yes, that’s correct. I’m trying to use TIMEFRAME(6 HOUR) in the ProScreener

  

  TraderArun

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  01/13/2023 at 1:54 PM #207360
  Nicolas

  ProScreener allows only the timeframes available in its “Period” dropdown list, that’s why you can’t use 6-Hours which is not an usual timeframe (and therefore not available).

  1 user thanked author for this post.

  TraderArun

  

  Nicolas

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  01/15/2023 at 1:34 AM #207451
  ArturAgababyan13

  Bonjour,

  J’essaie de programmer une stratégie en MTF en me basant sur le livre de Alexander Elder (stratégie Triple Screen).

  Dans le livre il est expliqué que :

  • Screen 1 : doit afficher la tendance à long terme
  • Screen 2 : doit afficher une tendance opposé au Screen 1 à court terme
  • Screen 3 : l’ouverture de position dans le sens de la tendance du Screen 1

  Pour cette stratégie j’ai choisi d’utiliser un indicateur de tendance pour le Screen 1, un oscillateur pour le Screen 2 et des conditions de breakout pour le Screen 3.

  • Screen 1 : MACD
  • Screen 2 : RSI
  • Screen 3 : achat si cassure high[1] du timeframe Screen 2 et vente si cassure low[1] du timeframe Screen 2

  Voici mon code :

  DEFPARAM CUMULATEORDERS = FALSE DEFPARAM NoCashUpdate = FALSE DEFPARAM MinOrder = 1 //DEFPARAM FlatBefore = 100000 //DEFPARAM FlatAfter = 180000 MinSize = 10 AmplitudeMax = 50 AmplitudeMin = 20 /*==============================================================================================================================*/ // Ecran 1 : définir la tendance de long terme TIMEFRAME(Weekly, updateonclose) MACDhistogram = MACD[12,26,9](close) WeeklyC1 = MACDhistogram < 0 AND MACDhistogram[1] < 0 WeeklyC2 = MACDhistogram > 0 AND MACDhistogram[1] > 0 WeeklyC3 = MACDhistogram > MACDhistogram[1] WeeklyC4 = MACDhistogram < MACDhistogram[1] /*==============================================================================================================================*/ // Ecran 2 : Définir si la tendance intérmédiaire est dans le sens opposé de la tendance LT TIMEFRAME(Daily, updateonclose) DailyRSI = RSI[14](close) DailySAR = SAR[0.02,0.02,0.2] Haut = high[1] Bas = low[1] DailyAmplitude = abs(haut - bas) DailyC1 = DailyRSI < 30 DailyC2 = DailyRSI > 70 DailyC3 = DailyAmplitude > AmplitudeMin AND DailyAmplitude < AmplitudeMax /*==============================================================================================================================*/ // Ecran 3 : Placer les ordres d'achat et de vente TIMEFRAME(1 hour, updateonclose) // Conditions pour ouvrir une position à l'achat et pour fermer une position d'achat OneHourC1 = Close CROSSES OVER Haut OneHourC2 = Close CROSSES UNDER DailySAR // Ouverture position acheteuse IF NOT ONMARKET AND (WeeklyC1 OR WeeklyC2) AND WeeklyC3 AND DailyC1 AND DailyC3 AND Close CROSSES OVER Haut THEN BUY MinSize CONTRACTS AT MARKET ENDIF // Clôture position acheteuse IF LongOnMarket AND OneHourC2 THEN SELL AT MARKET ENDIF // Conditions pour ouvrir une position à la vente et pour fermer une position à la vente OneHourC3 = Close CROSSES UNDER Bas OneHourC4 = Close CROSSES OVER DailySAR // Ouverture position vendeuse IF NOT OnMarket AND (WeeklyC1 OR WeeklyC2) AND WeeklyC4 AND DailyC2 AND DailyC3 AND OneHourC3 THEN SELLSHORT MinSize CONTRACTS AT MARKET ENDIF // Clôture position vendeuse IF ShortOnMarket AND OneHourC4 THEN EXITSHORT AT MARKET ENDIF // STOP LOSS GARANTIE SET STOP LOSS DailyAmplitude IF STRATEGYPROFIT < -200 THEN QUIT ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75

  DEFPARAM CUMULATEORDERS = FALSE DEFPARAM NoCashUpdate = FALSE DEFPARAM MinOrder = 1   //DEFPARAM FlatBefore = 100000 //DEFPARAM FlatAfter = 180000   MinSize = 10 AmplitudeMax = 50 AmplitudeMin = 20   /*==============================================================================================================================*/   // Ecran 1 : définir la tendance de long terme TIMEFRAME(Weekly, updateonclose) MACDhistogram = MACD[12,26,9](close)   WeeklyC1 = MACDhistogram < 0 AND MACDhistogram[1] < 0 WeeklyC2 = MACDhistogram > 0 AND MACDhistogram[1] > 0 WeeklyC3 = MACDhistogram > MACDhistogram[1] WeeklyC4 = MACDhistogram < MACDhistogram[1]   /*==============================================================================================================================*/   // Ecran 2 : Définir si la tendance intérmédiaire est dans le sens opposé de la tendance LT TIMEFRAME(Daily, updateonclose) DailyRSI = RSI[14](close) DailySAR = SAR[0.02,0.02,0.2] Haut = high[1] Bas = low[1]   DailyAmplitude = abs(haut - bas)   DailyC1 = DailyRSI < 30 DailyC2 = DailyRSI > 70 DailyC3 = DailyAmplitude > AmplitudeMin AND DailyAmplitude < AmplitudeMax   /*==============================================================================================================================*/   // Ecran 3 : Placer les ordres d'achat et de vente TIMEFRAME(1 hour, updateonclose) // Conditions pour ouvrir une position à l'achat et pour fermer une position d'achat OneHourC1 = Close CROSSES OVER Haut OneHourC2 = Close CROSSES UNDER DailySAR   // Ouverture position acheteuse IF NOT ONMARKET AND (WeeklyC1 OR WeeklyC2) AND WeeklyC3 AND DailyC1 AND DailyC3 AND Close CROSSES OVER Haut THEN BUY MinSize CONTRACTS AT MARKET ENDIF   // Clôture position acheteuse IF LongOnMarket AND OneHourC2 THEN SELL AT MARKET ENDIF   // Conditions pour ouvrir une position à la vente et pour fermer une position à la vente OneHourC3 = Close CROSSES UNDER Bas OneHourC4 = Close CROSSES OVER DailySAR   // Ouverture position vendeuse IF NOT OnMarket AND (WeeklyC1 OR WeeklyC2) AND WeeklyC4 AND DailyC2 AND DailyC3 AND OneHourC3 THEN SELLSHORT MinSize CONTRACTS AT MARKET ENDIF   // Clôture position vendeuse IF ShortOnMarket AND OneHourC4 THEN EXITSHORT AT MARKET ENDIF   // STOP LOSS GARANTIE SET STOP LOSS DailyAmplitude   IF STRATEGYPROFIT < -200 THEN QUIT ENDIF

  Je souhaite utiliser cette stratégie sur les actions. Je n’ai pas encore paramétré le calcul de la taille de position c’est pour cela que la taille de la position est à 10 actions.

  Mon problème et qu’après avoir tester sur plusieurs actions (avec des prix différents > 100€ ou < 100€), le backtest n’affiche rien, comme s’il n’y a pas eu de transactions. Pouvez-vous m’aider à trouver l’erreur ?

  Merci d’avance !

  

  ArturAgababyan13

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  03/20/2023 at 1:31 PM #211788
  AMQ

  Hello everyone, Regarding the multitime frame, I have an automatic strategy that operates in TF 2 min, with filters in daily and weekly TF. Currently carrying out a Backtest takes a long time and we believe that it is due to the daily and weekly checks in TF. Help is requested to see some idea that allows redefining the code and allowing backtests to be carried out in less time. Thank you very much Regards Alfonso

  

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  03/20/2023 at 1:40 PM #211792
  Nicolas

  @AMQ Please open a dedicated topic in the ProOrder section of the forum (please follow the posting rules).

  

  Nicolas

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  03/20/2023 at 2:07 PM #211797
  AMQ

  Ok, thanks Nicolas: done and sorry😊.

  

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  05/14/2023 at 11:23 AM #214678
  Davoud.DA

  I made three posts here sharing my strategies. I wanted to help my friends, but unfortunately my posts were deleted.

  

  Davoud.DA

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  05/14/2023 at 11:45 AM #214680
  robertogozzi

  Yes, I spammed all of them as you can’t advertise products other than about ProRealTime.

  And, if you advertise ProRealTime products, you can only do that in the Platform Support.

  Thank you 🙂

   

  

  robertogozzi

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  05/14/2023 at 11:47 AM #214681
  robertogozzi

  Sorry, i meant in the General Trading Discussions Forum.

   

  

  robertogozzi

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