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Thinkscript Strategy using Higher Time Frames


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Thinkscript Strategy using Higher Time Frames

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  #1 (permalink)
 apmodeler 
Boise, Idaho
 
Experience: Intermediate
Platform: TOS
Trading: Stocks
 
Posts: 34 since Aug 2013
Thanks: 53 given, 9 received

Hi All,
I'm working on a strategy that uses multiple time periods (AggregationPeriod). When referring to the higher timeframe function in a buy or sell condition is it better to use the current price or the previous price bar? For example if the higher time frame is Month and a close condition needs to be included , then it would be CLOSE(period = AggregationPeriod.Month). However, CLOSE(period = AggregationPeriod.Month) would not be a completed bar till the month actually ends. So there seems to be a chance a repaint may happen while trading during the month.

This could be resolved by using the prior bar CLOSE(period = AggregationPeriod.Month)[1]. However, it seems that the results are better when using the current HTF bar and not the prior HTF bar.

Was wondering if others have experience working through this?
Thank you in advance for any feedback.
Regards,
AP

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 casey44 
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apmodeler View Post
Hi All,
I'm working on a strategy that uses multiple time periods (AggregationPeriod). When referring to the higher timeframe function in a buy or sell condition is it better to use the current price or the previous price bar? For example if the higher time frame is Month and a close condition needs to be included , then it would be CLOSE(period = AggregationPeriod.Month). However, CLOSE(period = AggregationPeriod.Month) would not be a completed bar till the month actually ends. So there seems to be a chance a repaint may happen while trading during the month.

This could be resolved by using the prior bar CLOSE(period = AggregationPeriod.Month)[1]. However, it seems that the results are better when using the current HTF bar and not the prior HTF bar.

Was wondering if others have experience working through this?
Thank you in advance for any feedback.
Regards,
AP

Not sure I fully understand but well enough that I think the following could be a resource....
This site: https://usethinkscript.com/
Search for user “Pelonsax” and/or title: “Rob Smith's The Strat Indicator...”
And if of value hope you'll return and post result(s).

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  #3 (permalink)
 apmodeler 
Boise, Idaho
 
Experience: Intermediate
Platform: TOS
Trading: Stocks
 
Posts: 34 since Aug 2013
Thanks: 53 given, 9 received


Hi casey44,
Thank you for the link.
I will take a look and post any conclusion I may have.

My apologies for not being clearer. Just to clarify again....Two monthly charts are posted below, the first one on March 8th and the second one on March 31st of the same instrument. you can see that the candle in the red box is a bear bar in the first chart and it is a bull bar in the second chart.

If I am creating a simple strategy that references the monthly chart with the condition Close>open ( which in this case it would be CLOSE(period = AggregationPeriod.Month) > Open(period = AggregationPeriod.Month)), the bar in the red box changes from one type to another depending on the day of the month, the report generated may not be accurate. Or does the thinkorswim platform calculate it accurately?

Hope this makes a bit more sense.


MonthlyChart1


MonthlyChart2

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