Multi Timeframe problem

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  • 09/27/2021 at 12:32 PM #178557 quote
    pdrh
    Participant
    Average
    DEFPARAM FLATAFTER = 160000

// Prevents the system from creating new orders to enter the market or increase position size before the specified time
noEntryBeforeTime = 100200
timeEnterBefore = time >= noEntryBeforeTime

// Prevents the system from placing new orders to enter the market or increase position size after the specified time
noEntryAfterTime = 160000
timeEnterAfter = time < noEntryAfterTime

ONCE Start=100000
If Time =start then
Tradecount=0
Endif
Timeframe (30minutes,updateonclose)
c1= (close[1]-open[1] )
c2=c1<0
Timeframe (default)
c3=SAR[0.02,0.02,0.2]
c4=close>c3 AND close>open
c5=close <supertrend[3,6]
IF c2  AND c4 And c5 AND Tradecount<1 AND timeEnterBefore AND timeEnterAfter THEN
SELLSHORT 3 CONTRACT AT MARKET
Tradecount=Tradecount+1
ENDIF

// Stops and targets
SET STOP pTrailing 16
SET TARGET pPROFIT 3.4

    A trade is being triggered when the condition in the 30 minute timeframe is not met and I can’t see why .The default timefame is 20 seconds.

    Any help greatly appreciated.

    [attachment file=”Sell SAR.itf”]

    09/27/2021 at 1:30 PM #178566 quote
    robertogozzi
    Moderator
    Master

    On Which instrument did you test it?

    pdrh thanked this post
    09/27/2021 at 5:24 PM #178586 quote
    robertogozzi
    Moderator
    Master

    It works fine for me.
    I suggest that you append these lines at the end of your code:

    graph c2
graph c1

    so that you can monitor their value when the trade enters (actually the candle BEFORE the arrow plotted by ProBackTest).

    pdrh thanked this post
    x-18.jpg x-18.jpg
    09/27/2021 at 10:41 PM #178611 quote
    pdrh
    Participant
    Average

    I am running this on the ASX200 . Doesnt seem to work as well on other indices

    09/28/2021 at 1:25 AM #178614 quote
    pdrh
    Participant
    Average

    [attachment file=”178615″]
    The problem is that the 30 minute calculation is being done on 2 bars before the current bar .

    The entry on 27th Sept is at 10:49 but the C1 value is the the value for the 9:30 bar on the 30 minute chart.

    I need some help to insert a screen print into my reply

    Sell-SAR.xlsx
    09/28/2021 at 2:11 AM #178617 quote
    pdrh
    Participant
    Average

    .

    SELL-SAR.jpg SELL-SAR.jpg
    09/28/2021 at 7:26 AM #178620 quote
    robertogozzi
    Moderator
    Master

    Do not insert pics in your posts, only attach them using the appropriate button.

    Thsnks 🙂

    09/28/2021 at 7:33 AM #178621 quote
    robertogozzi
    Moderator
    Master

    It’s important, back to your question, that conditions are met on the 30-minute TF when the trade is entered.

    There are 90 20-second bars in 30 minutes, so more trades can be opened before the next 30-minute bar opens.

    C2 is met for 30 minutes.

    pdrh thanked this post
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Multi Timeframe problem


ProOrder: Automated Strategies & Backtesting

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pdrh @pdrh Participant
Summary

This topic contains 7 replies,
has 2 voices, and was last updated by robertogozzi
4 years, 4 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 09/27/2021
Status: Active
Attachments: 3 files
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