Strange MTF problem on some Timeframes.

ESCapedTestSubject · 2020-07-21T01:20:45+00:00

Hi, I’m implementing a MTF strategy, but I have run up to some very strange problems. Timeframe 1: I have set this to Daily, UpdateOnClose Timeframe 2: I have set this to Default, Default If I run the strategy on a chart of 2-24 hours it works fine. If I run it on 120 minutes it works fine. But if I run it on 1 hour, or anything below 1 hour, I get no trades! I have even tried to change TimeFrame1 to be 24 Hours. No success. I can’t see anything that would cause this in the code as there are no conditional time limitations. Can anyone give me a clue?

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07/21/2020 at 2:20 AM #139718 quote

ESCapedTestSubject
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Hi,

I’m implementing a MTF strategy, but I have run up to some very strange problems.

Timeframe 1: I have set this to Daily, UpdateOnClose

Timeframe 2: I have set this to Default, Default

If I run the strategy on a chart of 2-24 hours it works fine. If I run it on 120 minutes it works fine. But if I run it on 1 hour, or anything below 1 hour, I get no trades!

I have even tried to change TimeFrame1 to be 24 Hours. No success.

I can’t see anything that would cause this in the code as there are no conditional time limitations.

Can anyone give me a clue?

07/21/2020 at 8:59 AM #139729 quote

GraHal
Participant

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ESCapedTestSubject wrote:

But if I run it on 1 hour, or anything below 1 hour, I get no trades!

Any different if you change Timeframe 2 to (1 hour)?

07/21/2020 at 9:52 AM #139733 quote

Nicolas
Keymaster

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Try to expand the units available on your chart (data history).

07/21/2020 at 12:06 PM #139747 quote

ESCapedTestSubject
Participant

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I have tried everything from maximising to 100K history to a few thousand with no difference. I believe that a 1 hour or 8 hour bar is based on the same datafeed. The difference is how candles are shown.

I have also tried entering 1 hour, 30 minutes etc in timeframe nr 2. It just doesn’t work. Very odd that anything below 2 hours (either having a 1 hour chart or 60 minutes) leaves no trades when I have roughly 60 trades for the other timeframes (2,3,4,8,12 and 24 hours) for the chart…

Any ideas?

07/21/2020 at 1:59 PM #139752 quote

GraHal
Participant

Legend

ESCapedTestSubject wrote:

Any ideas?

If you post your code I would run it on my Platform if that might help?

07/21/2020 at 2:37 PM #139757 quote

Nicolas
Keymaster

Legend

Do you have time based conditions in the code?

07/21/2020 at 2:45 PM #139761 quote

ESCapedTestSubject
Participant

Average

No time based conditions.

I’ll try to break down the code step by step and see if I can find what it is.

07/21/2020 at 2:52 PM #139764 quote

ESCapedTestSubject
Participant

Average

Ok! Found it. One of the indicators I copied into the strategy had CustomClose. I never reacted to it which I should have 🤦‍♂️

Strange that it only affects 1 hour and below timeframes…

Thanks anyway.

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This topic contains 7 replies,
has 3 voices, and was last updated by ESCapedTestSubject
6 years, 2 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	07/21/2020
Status:	Active
Attachments:	No files