Multiple time frame strategy sharing a variable

February 7th, 2012, 07:14 AM

Please take a look at the code below. I'm working on a multitime frame strategy that tests for some conditions on three different time frames 2/10/60 and then updates a "Score" variable based on the findings.
Rather than update the score and print just one updated number, the output is showing three different scores one for each time frame. When added together they are correct but why are they printing to the output window separately?

I want one updated score that updates at each tick on all time frames at once.

code below
-------------------------------------------------------------------------------------------------------------------

Code

                            
namespace NinjaTrader.Strategy
{
/// <summary>
/// for testing strategy componants
/// </summary>
[Description("for testing strategy componants")]
public class TESTSTRATEGY2 : Strategy
{
#region Variables

//These are the amounts to add or subtract to score
int HourlyScore = 1; int TenMinScore = 2; int TwoMinScore = 6;

#endregion


protected override void Initialize()
{
CalculateOnBarClose = false;

Add(PeriodType.Minute, 10);     //adding 10 minute data
Add(PeriodType.Minute, 60);     //adding 60 minute data
}


protected override void OnBarUpdate()
{
ClearOutputWindow();

if (CurrentBars[0] <= BarsRequired || 
CurrentBars[1] <= BarsRequired || 
CurrentBars[2] <= BarsRequired)
return;

//reset score on each bar update
int Score = 0;    

//------------------------------------------------------------------------------------    
//for each BarsInProgress
for(int x = 0; x <= 2; x++)
{
if(BarsInProgress == x)
{
bool MaUp;     //define moving average up variable
string LongOrShort;    //define Long or short string

// determines if 8ema is above the 15sma
if (EMA(8)[0] > SMA(25)[0])
{
MaUp = true;
}
else 
MaUp = false;


if(MaUp)
{
LongOrShort = "SHORT";    //set short bias

switch(x)    //score for each time frame
{
case 2:
Score = Score + HourlyScore;
break;
case 1:
Score = Score + TenMinScore;
break;
case 0:
Score = Score + TwoMinScore;
break;
}

}
else    
if(MaUp == false)
{
LongOrShort = "LONG";    //set long bias

switch(x)    //score for each time frame
{
case 2:
Score = Score - HourlyScore;
break;
case 1:
Score = Score - TenMinScore;
break;
case 0:
Score = Score - TwoMinScore;
break;
}
}    
else 

LongOrShort = "NOTRADE"; //set no trade bias
}
}    
Print(ToTime(Time[0]));     //print time of score
Print("Score is " + Score);    //print score
}

#region Properties
#endregion
}
}

February 7th, 2012, 05:39 PM

If I understand correctly, try printing only in one timeframe, i.e the lowest timeframe, if BarsInProgress == 0 for instance.

February 7th, 2012, 07:38 PM

Thx!

It looks like I'm going to have to forgo the for loop in favor of using BarsArray references within the primary series. I was hoping to have to avoid this as it means a lot more duplicate code. Thx for the suggestion.

February 7th, 2012, 07:45 PM

Did you initialize your two minute data?

In the Initialize section I see you added the 10 and 60 but not the 2?

Maybe that has something to do with it?

Very beginner level programmer here so take my words with a grain of salt!

February 7th, 2012, 08:03 PM

r3algood

Did you initialize your two minute data?

In the Initialize section I see you added the 10 and 60 but not the 2?

Maybe that has something to do with it?

Very beginner level programmer here so take my words with a grain of salt!

Yes, I read through the info on syncing dataseries and was successfully able to sync all the series. 2/10/60 and the daily which I added as well. So far the code looks decent although not nearly as elegant as I had originally wanted. I had originally hoped to find a way to do this while looping through the BarsInProgress using a for loop but it doesn't allow me to do what I want it to do. I'll have to duplicate a lot of code unfortunately but at least it works.

jeremytang · February 11th, 2012, 12:42 AM

Hi Shrugged,

Are you trying to test

EMA(8)[0] > SMA(25)[0] using the 60 min timeframe based indicators, 10 min based indicators and 2 min based indicators for each tick?

If so, then what you're looking for on each bar update is basically this:

Code

if (EMA(BarsArray[0], 8) > SMA(BarsArray[0], 25)) // 2 min timeframe
{
 Score += TwoMinScore;
}

if (EMA(BarsArray[1],8) > SMA(BarsArray[1],25)) // 10 min timeframe
{
Score += TenMinScore;
}

if (EMA(BarsArray[2],8) > SMA(BarsArray[2],25)) // 60 min timeframe
{
Score += HourlyScore;
}

Jeremy

February 17th, 2012, 01:57 PM

sorry to reply so late...thanx JeremyT for the code. I like the easier way you incremented the variables. I'm using that now thanks to you.

Score += TwoMinScore;

is much better than Score = Score + SomethingElse;

thx!

Multiple time frame strategy sharing a variable

Discussion in NinjaTrader

Multiple time frame strategy sharing a variable