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Is MC able to backtest strategies based on multiple range-bar-based frames?
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Is MC able to backtest strategies based on multiple range-bar-based frames?

  #1 (permalink)
Elite Member
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Is MC able to backtest strategies based on multiple range-bar-based frames?

I'm considering evaluating the MC trial but, before I invest the substantial amount of time that would take, I'm hoping that someone with experience in the program might be able to tell me whether it has the capability I'm looking for:

I'd like to backtest a strategy that uses indicators based not on different time bars, but different range bars. As a trivial example, suppose I'd like to build EMAs based on the closes of 5-tick, 10-tick, 15-tick range bars (lets call them EMA_5, EMA_10, and EMA_15), and implement a strategy that says: buy when EMA_5 and EMA_10 are both between x and y, and when EMA_15 is between y and z (or whatever).

If EMA_5, EMA_10, and EMA_15 were instead based on the closes of 5-minute, 10-minute, and 15-minute time bars, I know MC would have no problem. But what about my example, where the EMAs are based on the closes of different range bar series? [And just to be clear, I don't mean N-tick bars (which form each time a certain number of ticks come through), I mean N-tick range bars (which form each time the difference between the low and the high exceeds a fixed range).] Can MC implement a backtest of this and, if so, would it need to be coded from scratch, or does MC offer some built-in functionality that would facilitate this? I tried searching for several different variations of "MultiCharts range bars multiple frames timeframes" etc., and was not able to find anything concrete -- just general stuff from MC about how they can mix different time bars and range bars in the same window, which is different from being able to conduct a backtest on them.

Thanks!

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  #2 (permalink)
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Sure, just add the same instrument multiple times as data2, data3, etc. using different range (they call it "points" I think) settings, then use them as inputs to your indicator(s) like this:

 
Code
inputs: DataSeries1( Close of data1 ), DataSeries2( Close of data2 ), DataSeries3( Close of data3), DataSeries4( Close of data4)
In MC being able to mix them in the same window is essentially the same as being able to mix them in backtesting.

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  #3 (permalink)
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Thanks, imParsinator. Might you know of anywhere I could view a complete MC code example for this sort of implementation?

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  #4 (permalink)
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The built-in "spread" indicators are simplistic and meant for two different instruments, but the principle is the same so that's probably the best place to start.

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  #5 (permalink)
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Re: Auto Trading with MultiCharts on Forex Market

Can i get some help with programming a simple system on range bar charts?
1) Need to look for 3 consecutive bullish or bearish bars and pop an alarm as well as take an entry
2) ability to back test on range bar charts with some Profit take ( staggered exit with 3 exits) and stop levels

i am a noob in programming , would really appreciate your help

Venu

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  #6 (permalink)
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St. Petersburg, Russia
 
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forexcasted View Post
Can i get some help with programming a simple system on range bar charts?
1) Need to look for 3 consecutive bullish or bearish bars and pop an alarm as well as take an entry
2) ability to back test on range bar charts with some Profit take ( staggered exit with 3 exits) and stop levels

i am a noob in programming , would really appreciate your help

Venu

Cerate a Custom strategy LE and put the following line into there:
 
Code
if countif(close > open, 3) = 3 then buy this bar on close
Then you may want to add any of the built-in exit signals (LX) and play with them.

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