Multi Timeframe Strategy Problem

• 02/14/2019 at 5:35 PM #91417
  PZonda5

  I was building a simple multi timeframe strategy based on the Absolute Strength indicator:

  https://www.prorealcode.com/prorealtime-indicators/absolute-strength/

  I am using the 3 Min chart of the Germany 30 Cash index as my current timeframe and the 15 Min chart for my higher timeframe.

  I am also using the Graph function to make sure I get the correct values for the Absolute Strenght lines.

  When looking at the Graph output, I noticed that when I use the condition “Timeframe(15 minutes,updateonclose)”, the Absolute Strength lines of the 15 Min timeframe slightly differ from the “true” values on the 15 Min chart.

  However, when I use the condition “Timeframe(15 minutes)” [without, updateonclose], the Absolute Strenght lines are correct.

  I would rather like to use the updateonclose condition for my strategy, so I would like to find out why this difference exist and if it can be fixed?

   

  Below you can find my code and some screenshots to further illustrate my problem (I realise it probably isn’t the best looking code, especially the way I handled the MTF bit, but thats due to my lack in coding experience – mayby that’s why I have this problem in the first place)

  //------------------------------------------------------------------------- // Main code : AbsStrength (3M) - Concept 8 //------------------------------------------------------------------------- Defparam Cumulateorders = False //15 minute timeframe conditions Timeframe(15 minutes,updateonclose) //Absolute Strength Indicator START // --- settings ModeMTF = 1 // 0-RSI method 1-Stoch method LengthMTF = 9 // Period SmoothMTF = 1 // Period of smoothing ModeMAMTF = 2 // Mode of Moving Average // --- end of settings if barindex>max(LengthMTF,SmoothMTF) then Price1MTF=customclose Price2MTF=customclose[1] if ModeMTF=0 then BullsMTF=0.5*(Abs(Price1MTF-Price2MTF)+(Price1MTF-Price2MTF)) BearsMTF=0.5*(Abs(Price1MTF-Price2MTF)-(Price1MTF-Price2MTF)) endif if ModeMTF=1 then smaxMTF=Highest[LengthMTF](high) sminMTF=Lowest[LengthMTF](low) BullsMTF=Price1MTF - sminMTF BearsMTF=smaxMTF - Price1MTF endif AvgBullsMTF=average[LengthMTF,ModeMAMTF](BullsMTF) AvgBearsMTF=average[LengthMTF,ModeMAMTF](BearsMTF) SmthBullsMTF=average[SmoothMTF,ModeMAMTF](AvgBullsMTF) SmthBearsMTF=average[SmoothMTF,ModeMAMTF](AvgBearsMTF) endif //Absolute Strength Indicator END //"default" timeframe conditions Timeframe(default) //Size & Targets Positionsize = 1 PTL = 10 SLL = 10 PTS = 10 SLS = 10 // Day & Time Once Entertime = 090000 Once Lasttime = 173000 Tt1 = Time >= Entertime Tt2 = Time <= Lasttime Tradetime = Tt1 And Tt2 //Absolute Strength Indicator START // --- settings Mode = 1 // 0-RSI method 1-Stoch method Length = 9 // Period Smooth = 1 // Period of smoothing ModeMA = 2 // Mode of Moving Average // --- end of settings if barindex>max(Length,Smooth) then Price1=customclose Price2=customclose[1] if Mode=0 then Bulls=0.5*(Abs(Price1-Price2)+(Price1-Price2)) Bears=0.5*(Abs(Price1-Price2)-(Price1-Price2)) endif if Mode=1 then smax=Highest[Length](high) smin=Lowest[Length](low) Bulls=Price1 - smin Bears=smax - Price1 endif AvgBulls=average[Length,ModeMA](Bulls) AvgBears=average[Length,ModeMA](Bears) SmthBulls=average[Smooth,ModeMA](AvgBulls) SmthBears=average[Smooth,ModeMA](AvgBears) endif //Absolute Strength Indicator END //"default" timeframe Timeframe(default) //Entry & Exit Conditions If Tradetime Then If SmthBulls>SmthBears and SmthBulls[1]<SmthBears[1] and SmthBullsMTF>SmthBearsMTF and SmthBullsMTF>SmthBullsMTF[1] and SmthBearsMTF<SmthBearsMTF[1] Then Buy Positionsize Contract At Market SET TARGET PROFIT PTL Set Stop loss SLL Endif Endif If Tradetime Then If SmthBulls<SmthBears and SmthBulls[1]>SmthBears[1] and SmthBullsMTF<SmthBearsMTF and SmthBullsMTF<SmthBullsMTF[1] and SmthBearsMTF>SmthBearsMTF[1] Then Sellshort Positionsize Contract At Market SET TARGET PROFIT PTS Set Stop loss SLS Endif Endif graph SmthBullsMTF coloured(0,191,255) graph SmthBearsMTF coloured(255,0,0) graph SmthBulls coloured (0,300,0) graph SmthBears coloured (300,0,0)

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  //------------------------------------------------------------------------- // Main code : AbsStrength (3M) - Concept 8 //-------------------------------------------------------------------------   Defparam Cumulateorders = False   //15 minute timeframe conditions Timeframe(15 minutes,updateonclose)   //Absolute Strength Indicator START // --- settings ModeMTF   = 1   // 0-RSI method 1-Stoch method LengthMTF = 9 // Period SmoothMTF = 1 // Period of smoothing ModeMAMTF = 2 // Mode of Moving Average // --- end of settings   if barindex>max(LengthMTF,SmoothMTF) then Price1MTF=customclose Price2MTF=customclose[1]   if ModeMTF=0 then BullsMTF=0.5*(Abs(Price1MTF-Price2MTF)+(Price1MTF-Price2MTF)) BearsMTF=0.5*(Abs(Price1MTF-Price2MTF)-(Price1MTF-Price2MTF)) endif if ModeMTF=1 then smaxMTF=Highest[LengthMTF](high) sminMTF=Lowest[LengthMTF](low) BullsMTF=Price1MTF - sminMTF BearsMTF=smaxMTF - Price1MTF endif   AvgBullsMTF=average[LengthMTF,ModeMAMTF](BullsMTF) AvgBearsMTF=average[LengthMTF,ModeMAMTF](BearsMTF)   SmthBullsMTF=average[SmoothMTF,ModeMAMTF](AvgBullsMTF) SmthBearsMTF=average[SmoothMTF,ModeMAMTF](AvgBearsMTF) endif //Absolute Strength Indicator END   //"default" timeframe conditions Timeframe(default)   //Size & Targets Positionsize = 1   PTL = 10 SLL = 10 PTS = 10 SLS = 10   // Day & Time Once Entertime = 090000 Once Lasttime  = 173000   Tt1 = Time >= Entertime Tt2 = Time <= Lasttime Tradetime = Tt1 And Tt2   //Absolute Strength Indicator START // --- settings Mode   = 1   // 0-RSI method 1-Stoch method Length = 9 // Period Smooth = 1 // Period of smoothing ModeMA = 2 // Mode of Moving Average // --- end of settings   if barindex>max(Length,Smooth) then Price1=customclose Price2=customclose[1]   if Mode=0 then Bulls=0.5*(Abs(Price1-Price2)+(Price1-Price2)) Bears=0.5*(Abs(Price1-Price2)-(Price1-Price2)) endif if Mode=1 then smax=Highest[Length](high) smin=Lowest[Length](low) Bulls=Price1 - smin Bears=smax - Price1 endif   AvgBulls=average[Length,ModeMA](Bulls) AvgBears=average[Length,ModeMA](Bears)   SmthBulls=average[Smooth,ModeMA](AvgBulls) SmthBears=average[Smooth,ModeMA](AvgBears) endif //Absolute Strength Indicator END   //"default" timeframe Timeframe(default)   //Entry & Exit Conditions If Tradetime Then If SmthBulls>SmthBears and SmthBulls[1]<SmthBears[1] and SmthBullsMTF>SmthBearsMTF and SmthBullsMTF>SmthBullsMTF[1] and SmthBearsMTF<SmthBearsMTF[1] Then Buy Positionsize Contract At Market SET TARGET PROFIT PTL Set Stop loss SLL Endif Endif   If Tradetime Then If SmthBulls<SmthBears and SmthBulls[1]>SmthBears[1] and SmthBullsMTF<SmthBearsMTF and SmthBullsMTF<SmthBullsMTF[1] and SmthBearsMTF>SmthBearsMTF[1] Then Sellshort Positionsize Contract At Market SET TARGET PROFIT PTS Set Stop loss SLS Endif Endif     graph SmthBullsMTF coloured(0,191,255) graph SmthBearsMTF coloured(255,0,0)   graph SmthBulls coloured (0,300,0) graph SmthBears coloured (300,0,0)

   

  

  PZonda5

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  02/14/2019 at 6:07 PM #91421
  robertogozzi

  I modified your code by adding a coiuple of TF’s and GRAPH’s so that you can see the inner workings of BARINDEX, which is likely to be the cause of your issue (I indented my line 6 spaces):

  //------------------------------------------------------------------------- // Main code : AbsStrength (3M) - Concept 8 //------------------------------------------------------------------------- Defparam Cumulateorders = False defparam preloadbars=0 //15 minute timeframe conditions Timeframe(15 minutes,updateonclose) //Absolute Strength Indicator START // --- settings ModeMTF = 1 // 0-RSI method 1-Stoch method LengthMTF = 9 // Period SmoothMTF = 1 // Period of smoothing ModeMAMTF = 2 // Mode of Moving Average // --- end of settings if barindex>max(LengthMTF,SmoothMTF) then Price1MTF=customclose Price2MTF=customclose[1] if ModeMTF=0 then BullsMTF=0.5*(Abs(Price1MTF-Price2MTF)+(Price1MTF-Price2MTF)) BearsMTF=0.5*(Abs(Price1MTF-Price2MTF)-(Price1MTF-Price2MTF)) endif if ModeMTF=1 then smaxMTF=Highest[LengthMTF](high) sminMTF=Lowest[LengthMTF](low) BullsMTF=Price1MTF - sminMTF BearsMTF=smaxMTF - Price1MTF endif AvgBullsMTF=average[LengthMTF,ModeMAMTF](BullsMTF) AvgBearsMTF=average[LengthMTF,ModeMAMTF](BearsMTF) SmthBullsMTF=average[SmoothMTF,ModeMAMTF](AvgBullsMTF) SmthBearsMTF=average[SmoothMTF,ModeMAMTF](AvgBearsMTF) endif x1 = barindex graph x1 Timeframe(15 minutes,default) x2 = barindex graph x2 //Absolute Strength Indicator END //"default" timeframe conditions Timeframe(default) x3 = barindex graph x3 //Size & Targets Positionsize = 1 PTL = 10 SLL = 10 PTS = 10 SLS = 10 // Day & Time Once Entertime = 090000 Once Lasttime = 173000 Tt1 = Time >= Entertime Tt2 = Time <= Lasttime Tradetime = Tt1 And Tt2 //Absolute Strength Indicator START // --- settings Mode = 1 // 0-RSI method 1-Stoch method Length = 9 // Period Smooth = 1 // Period of smoothing ModeMA = 2 // Mode of Moving Average // --- end of settings if barindex>max(Length,Smooth) then Price1=customclose Price2=customclose[1] if Mode=0 then Bulls=0.5*(Abs(Price1-Price2)+(Price1-Price2)) Bears=0.5*(Abs(Price1-Price2)-(Price1-Price2)) endif if Mode=1 then smax=Highest[Length](high) smin=Lowest[Length](low) Bulls=Price1 - smin Bears=smax - Price1 endif AvgBulls=average[Length,ModeMA](Bulls) AvgBears=average[Length,ModeMA](Bears) SmthBulls=average[Smooth,ModeMA](AvgBulls) SmthBears=average[Smooth,ModeMA](AvgBears) endif //Absolute Strength Indicator END //"default" timeframe Timeframe(default) //Entry & Exit Conditions If Tradetime Then If SmthBulls>SmthBears and SmthBulls[1]<SmthBears[1] and SmthBullsMTF>SmthBearsMTF and SmthBullsMTF>SmthBullsMTF[1] and SmthBearsMTF<SmthBearsMTF[1] Then Buy Positionsize Contract At Market SET TARGET PROFIT PTL Set Stop loss SLL Endif Endif If Tradetime Then If SmthBulls<SmthBears and SmthBulls[1]>SmthBears[1] and SmthBullsMTF<SmthBearsMTF and SmthBullsMTF<SmthBullsMTF[1] and SmthBearsMTF>SmthBearsMTF[1] Then Sellshort Positionsize Contract At Market SET TARGET PROFIT PTS Set Stop loss SLS Endif Endif graph SmthBullsMTF coloured(0,191,255) graph SmthBearsMTF coloured(255,0,0) graph SmthBulls coloured (0,300,0) graph SmthBears coloured (300,0,0)

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  //------------------------------------------------------------------------- // Main code : AbsStrength (3M) - Concept 8 //------------------------------------------------------------------------- Defparam Cumulateorders = False defparam preloadbars=0 //15 minute timeframe conditions Timeframe(15 minutes,updateonclose) //Absolute Strength Indicator START // --- settings ModeMTF   = 1   // 0-RSI method 1-Stoch method LengthMTF = 9 // Period SmoothMTF = 1 // Period of smoothing ModeMAMTF = 2 // Mode of Moving Average // --- end of settings if barindex>max(LengthMTF,SmoothMTF) then Price1MTF=customclose Price2MTF=customclose[1] if ModeMTF=0 then BullsMTF=0.5*(Abs(Price1MTF-Price2MTF)+(Price1MTF-Price2MTF)) BearsMTF=0.5*(Abs(Price1MTF-Price2MTF)-(Price1MTF-Price2MTF)) endif if ModeMTF=1 then smaxMTF=Highest[LengthMTF](high) sminMTF=Lowest[LengthMTF](low) BullsMTF=Price1MTF - sminMTF BearsMTF=smaxMTF - Price1MTF endif AvgBullsMTF=average[LengthMTF,ModeMAMTF](BullsMTF) AvgBearsMTF=average[LengthMTF,ModeMAMTF](BearsMTF) SmthBullsMTF=average[SmoothMTF,ModeMAMTF](AvgBullsMTF) SmthBearsMTF=average[SmoothMTF,ModeMAMTF](AvgBearsMTF) endif       x1 = barindex       graph x1         Timeframe(15 minutes,default)             x2 = barindex             graph x2   //Absolute Strength Indicator END //"default" timeframe conditions Timeframe(default)       x3 = barindex       graph x3 //Size & Targets Positionsize = 1 PTL = 10 SLL = 10 PTS = 10 SLS = 10 // Day & Time Once Entertime = 090000 Once Lasttime  = 173000 Tt1 = Time >= Entertime Tt2 = Time <= Lasttime Tradetime = Tt1 And Tt2 //Absolute Strength Indicator START // --- settings Mode   = 1   // 0-RSI method 1-Stoch method Length = 9 // Period Smooth = 1 // Period of smoothing ModeMA = 2 // Mode of Moving Average // --- end of settings if barindex>max(Length,Smooth) then Price1=customclose Price2=customclose[1] if Mode=0 then Bulls=0.5*(Abs(Price1-Price2)+(Price1-Price2)) Bears=0.5*(Abs(Price1-Price2)-(Price1-Price2)) endif if Mode=1 then smax=Highest[Length](high) smin=Lowest[Length](low) Bulls=Price1 - smin Bears=smax - Price1 endif AvgBulls=average[Length,ModeMA](Bulls) AvgBears=average[Length,ModeMA](Bears) SmthBulls=average[Smooth,ModeMA](AvgBulls) SmthBears=average[Smooth,ModeMA](AvgBears) endif //Absolute Strength Indicator END //"default" timeframe Timeframe(default) //Entry & Exit Conditions If Tradetime Then If SmthBulls>SmthBears and SmthBulls[1]<SmthBears[1] and SmthBullsMTF>SmthBearsMTF and SmthBullsMTF>SmthBullsMTF[1] and SmthBearsMTF<SmthBearsMTF[1] Then Buy Positionsize Contract At Market SET TARGET PROFIT PTL Set Stop loss SLL Endif Endif If Tradetime Then If SmthBulls<SmthBears and SmthBulls[1]>SmthBears[1] and SmthBullsMTF<SmthBearsMTF and SmthBullsMTF<SmthBullsMTF[1] and SmthBearsMTF>SmthBearsMTF[1] Then Sellshort Positionsize Contract At Market SET TARGET PROFIT PTS Set Stop loss SLS Endif Endif graph SmthBullsMTF coloured(0,191,255) graph SmthBearsMTF coloured(255,0,0)   graph SmthBulls coloured (0,300,0) graph SmthBears coloured (300,0,0)

   

  

  robertogozzi

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