Problem with MTF results

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  • 12/11/2019 at 12:19 AM #114615 quote
    seatrout
    Participant
    Average

    Good evening. I wrote an indicator to categorize the conditions on the market. I takes into account trend direction, trend strength and volatility. DAX daily chart.

    11 differrent categories (ok – that is a lot…) When I use it as a part of the code in a strategy, on lower timeframes, but it does not show the same categories as the indicator!?Sometimes it does but not every day.

    I have used MTF “timeframe(daily,updateonclose)” in the strategy, so that is not the easy answer 🙂

    Any ideas why it can differ?

    If there are no easy answers straight away I can upload the code later.

    12/11/2019 at 12:38 AM #114616 quote
    robertogozzi
    Moderator
    Master

    UpdateOnClose makes the variable to be updated only when a candle closes, that is once a day.

    Indicators, instead, work real time, so they are updated continuosly. So you should always check close candles, not current ones.

    Try GRAPHING them (you can also use GRAPHONPRICE for those sharimg the same scale), with both UpdateOnClose and with Default, to try to spot where the differences come from.

    For instance, if you have variable MyRsi, add at the end of your code:

    GRAPH MyRsi coloured(255,0,0,255) AS "Rsi"

    if you have an average, say variable MyAvg, you can either use GRAPH as above, or

    GRAPHONPRICE MyAvg coloured(0,255,0,255) AS "Avg"

    since MyAvg has the same scale as the price and you will see it on the price chart like any moving average.

    12/11/2019 at 1:21 PM #114671 quote
    Nicolas
    Keymaster
    Master

    Could you post screenshots of that differences please?

    12/11/2019 at 7:07 PM #114698 quote
    seatrout
    Participant
    Average

    Here are the files and screenshots.

    DAILY-WITH-INDICATOR.png DAILY-WITH-INDICATOR.png STRATEGY-ON-1MIN.png STRATEGY-ON-1MIN.png Grundfilter-för-trendvärden.itf TV1-ADX-L-Forum.itf
    12/12/2019 at 1:35 PM #114741 quote
    Nicolas
    Keymaster
    Master

    So you are using the strategy on a 1-min timeframe but the score from your filter code is set from the daily timeframe, right?
    Are you sure that the code included into the strategy is exactly the same as the one from the indicator and with the same exact settings? (period, threshold)

    12/12/2019 at 8:59 PM #114776 quote
    seatrout
    Participant
    Average

    Yes Nicholas, that is correct.

    I´ve checked and it´s the same code and parameters.

    So I´m confused over the result…

    For sure there is a logical explanation but I´m not able to pinpoint it 🙂

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Problem with MTF results


ProOrder: Automated Strategies & Backtesting

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seatrout @seatrout Participant
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This topic contains 5 replies,
has 3 voices, and was last updated by seatrout
6 years, 2 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 12/11/2019
Status: Active
Attachments: 4 files
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