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Same strategy, same asset, two different timeframes ?
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Created: by toddma Attachments:3

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Same strategy, same asset, two different timeframes ?

  #1 (permalink)
Elite Member
vancouver canada
 
Futures Experience: Intermediate
Platform: multicharts, ninjatrader
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Same strategy, same asset, two different timeframes ?

It would seem that it is a problem for Multicharts to run the same strategy on two different time frames but on the same asset.

Example:
Running strategy A on 1 hour charts on AUDUSD
&
Running strategy A on 2 hour charts on AUDUSD

It seems that when multicharts sees an execution on the other time frame it thinks that that is related to both time frames. So if the 1 hour time frame sells its position, then if both were long then the 2 hour time frame thinks that it's position has been closed as well. Can anyone confirm or deny this? I am using Async to keep executions in MC independant from whats going on at the my broker. It seems that there are less problems with this setup...

Has anyone else had this problem? or can anyone else say if this logic makes sense? solutions?
Thanks -
Todd

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  #2 (permalink)
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  #3 (permalink)
Trading Apprentice
Beijing P.R.China
 
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me too



toddma View Post
It would seem that it is a problem for Multicharts to run the same strategy on two different time frames but on the same asset.

Example:
Running strategy A on 1 hour charts on AUDUSD
&
Running strategy A on 2 hour charts on AUDUSD

It seems that when multicharts sees an execution on the other time frame it thinks that that is related to both time frames. So if the 1 hour time frame sells its position, then if both were long then the 2 hour time frame thinks that it's position has been closed as well. Can anyone confirm or deny this? I am using Async to keep executions in MC independant from whats going on at the my broker. It seems that there are less problems with this setup...

Has anyone else had this problem? or can anyone else say if this logic makes sense? solutions?
Thanks -
Todd

I also want to run a strategy on two different time frames on the same asset, I found out that it coulden't generate correct results at each and every point where a long or short trade was opened.it'was not consistent. I still don't know why.
My method has a little difference though,and here is the detail, I want the tow charts system to give a long signal (and open a buy trade of couse) when MACD on both charts give out long sigals,and a short signal when MACD on both charts are short signals. Also,as we expect, there must be a rest period when MACD on the 2 charts are in different directions.You can see, this is a simple system that may fortify the trend when htere is one,and when the trend is obscure,we just waite and rest.

The problem is, when I check this trading system in tow different ways, it won't give out the same results the same asset. First I used macd indicator to make the trade on 15 min and 1hour timeframe, 15 min for data 1 chart, and h1 for data 2chart. Then I used macd indicator to make the trade on 1 hour on chart1, and 15 min for data chart2 to check the results.It is reasnable to believe that they will gice the same results, but they are different.

In case my code may have problemss, here is the code for you to check out.


inputs: NUM(1),
FastLengthA( 12 ),
SlowLengthA( 26 ),
MACDLengthA( 9 ),
FastLengthB( 12 ),
SlowLengthB( 26 ),
MACDLengthB( 9 );

variables:
mp(0),
varA0( 0 ),
varA1( 0 ),
Intrabarpersist varB0( 0 ),
Intrabarpersist varB1( 0 ),
Buycon(False),
Sellcon(False);

mp = marketposition;
varA0 = MACD( Close , FastLengthA, SlowLengthA ) ;
varA1 = XAverage( varA0, MACDLengthA ) ;
varB0 = MACD( Close , FastLengthB, SlowLengthB ) of Data2;
varB1 = XAverage( varB0, MACDLengthB )of Data2 ;

Buycon = (varA0 cross over varA1 and varB0>varB1) or (varB0 cross over varB1);
Sellcon = (varA0 cross under varA1 and varB0<varB1) or (varB0 cross under varB1);


IF mp=1 and varA0 cross under varA1 or varB0 cross under varB1 THEN BEGIN
SELL THIS BAR ON CLOSE;
END;

IF mp=-1 and varA0 cross over varA1 or varB0 cross over varB1 THEN BEGIN
BUYTOCOVER THIS BAR ON CLOSE;
END;

if mp<>1 and Buycon Then begin
buy NUM contracts this bar on close;
END;

IF mp<>-1 and Sellcon THEN BEGIN
SELLSHORT THIS BAR ON CLOSE;
END;


Last edited by guge789; June 22nd, 2014 at 01:36 AM. Reason: I will give more deatils.
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  #4 (permalink)
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Beijing P.R.China
 
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PICS

Because this is my first trial to post pics, I'm not sure this will be down properly or not. forgive me if not succeeded.

Attached Thumbnails
Same strategy, same asset, two different timeframes ?-qq-20140622125756.jpg   Same strategy, same asset, two different timeframes ?-qq-20140622125827.jpg   Same strategy, same asset, two different timeframes ?-qq-20140622130409.jpg  
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  #5 (permalink)
Trading Apprentice
Beijing P.R.China
 
Futures Experience: Advanced
Platform: multicharts ,MetaTrader,TradeStation
Favorite Futures: gold
 
Posts: 8 since Jun 2014
Thanks: 1 given, 1 received

why

I personnally thought MC is very suitable for tradings on multiple time frames,and MTF methods are highly reliable and profitable.so I'm wodering why there is so little response for this question.Am I wrong? No! So friends, please come and join this disscussion! --Thank big mike for providing this forum.

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  #6 (permalink)
Market Wizard
Hamburg Germany
 
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guge789,

depending on your settings and code a system using the 15min chart can enter at every bar, even with the underlying 1 hour chart. This means the entry prices for the system can vary, as the close of the 15 min bar can be different than the close of a 1 hour bar.
I would guess that this is causing your different results.

Regards,
ABCTG


guge789 View Post
The problem is, when I check this trading system in tow different ways, it won't give out the same results the same asset. First I used macd indicator to make the trade on 15 min and 1hour timeframe, 15 min for data 1 chart, and h1 for data 2chart. Then I used macd indicator to make the trade on 1 hour on chart1, and 15 min for data chart2 to check the results.It is reasnable to believe that they will gice the same results, but they are different.


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  #7 (permalink)
Trading Apprentice
Beijing P.R.China
 
Futures Experience: Advanced
Platform: multicharts ,MetaTrader,TradeStation
Favorite Futures: gold
 
Posts: 8 since Jun 2014
Thanks: 1 given, 1 received

good tip

thank you very much for your wonderful tips. I checked the charts and now understand that it is true just as your comments.

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