Stop Loss on Lower Timeframe

• 02/28/2022 at 9:30 AM #188988
  deletedaccount051022

  Hi,

  Am looking for some help please.  Saw an interesting idea on this site about running stop loss on lower timeframes.  Am trying to test the trailing stop of this strategy I previously posted on a lower timeframe but getting errors about not mixing the right timeframes together;

  https://www.prorealcode.com/topic/breakout-strategy-another-kevin-davey-idea/

  Strategy is 15 min, stop loss would be 5 or 1 min, so should work but they error.

  Any help greatly appreciated

  Thank you

  

  deletedaccount051022

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  02/28/2022 at 9:41 AM #188989
  robertogozzi

  When using MTF, Multiple Time Frame, support the lowest TF used must be the one on your chart.

  All greater TFs used must be multiple of the lowest one.

  If you are using 4h + 1h + 5min, then 5 min (or lower, such as 1 minute) is the TF you have to use on your chart. You cannot replace 1h with 3h, as 4 is not a multiple of 3, in such a case you should also replace 4h with 6h, which is a multiple of 3.

   

  

  robertogozzi

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  02/28/2022 at 12:29 PM #189026
  deletedaccount051022

  Hello robertogozzi

  Thank you, I had hoped I could run the stop loss on a lower timeframe to be more responsive.  Maybe I will suggest this for the next version of PRT!

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  deletedaccount051022

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  03/01/2022 at 8:58 AM #189115
  PeterSt

  samsampop wrote:

  Thank you, I had hoped I could run the stop loss on a lower timeframe to be more responsive.  Maybe I will suggest this for the next version of PRT!

  … which will never be made as how you imply it should work. What you imply (thus without saying) is that you want the best of both worlds : high resolution (on the response) and a long history at the same time. And if that is not the case then

   

  samsampop wrote:

  Strategy is 15 min, stop loss would be 5 or 1 min, so should work but they error. Any help greatly appreciated

  then of course this can work by putting all upside down. You put the chart in 1 min, same as the SL, and the remainder (entries etc.) works in 5 or 15 minutes.
  And the penalty ? less history (way less). 😉
  You can’t have your cake and eat it too …

  

  PeterSt

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  03/01/2022 at 11:47 AM #189135
  deletedaccount051022

  Thanks PeterSt

  I appreciate your feedback.

  From my background I’m used to different systems that build a view of the market on tick data, so you can then interrogate and hypothesize on any combination of time frame.  I just need to get used to the correlation in PRT of the chart TF being the lowest common denominator.

  Onward an upwards!

   

  

  deletedaccount051022

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  03/01/2022 at 12:42 PM #189136
  PeterSt

  samsampop wrote:

  I just need to get used to the correlation in PRT of the chart TF being the lowest common denominator.

  Hi again @samsampop,

  Yeah, well, mind your “just”;

  So indeed all is related to history and the amount of it, and possibly platforms exist with infinite amounts of free (!) history (tick data) ? In that case it is understandable what you may see lacking in PRT. But the “just” will never count for me and others; envision the 1second timeframe.

  So for our fun : my major problem is not being able to go back more than one month. And so the past weeks I am working om extrapolating my 1s TF to 2s and beyond, while all keeps on working in the past (backtest) data. Live will remain working at 1s, but backtesting in 2s and longer should be a kind of representative.
  Not an easy task, which foremost comes down to avoiding functions which work at the bar level. For example :

  If Close < Close[1] and Close[1] < Close[2] then ... endif

  1 2 3

  If Close < Close[1] and Close[1] < Close[2] then   ... endif

  must be re”coded” into something that does the same but is independent of the bar size (like 1s vs 2s).
  Already the tests to compare whether the results stay in-tact requires a system in itself !

  Maybe interesting to know or see through :
  Currently we are in the most lucky situation that until November 2021 we had a clear “Market A”, while after that (on-going) we have a clear “Market B”. These markets are so different, that at least I myself am not really able to trade with it (all is scary, the majority fails). The AutoTrading systems too, don’t work any more. Now, it is very simple to let it work again for Market B, but what if Market A returns (and mind you, in my perception March 2020 (Covid-start) was also still a normal Market A, but maybe A^2. And so … If I today would be able to use a TF of 2s, I would already miss Market A from November. 3s though will allow me to be in there too. And once I can be in both, my strategies will work in both (I will make them do that).

  Thus, having sufficient history data is crucial (too all of us). But when trading with the lower time frames, this comes down to sheer sufficient “time period”.
  I said “PRT is not going to do that”. But possibly if they realise that this is about time and not about more data points as such, they will allow a year of history with 1s etc. data after all (they will surely preserve the data once it’s in (history data costs $ too from the data provider)). It is only that my backtesting takes 12x longer.

  And so we struggle on(wards !) (knowing that the choice for 1s is my own).
  🙂

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  PeterSt

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