MTF Strategy Problems

January 16th, 2020, 03:48 PM

Problems getting Correct Indicator Values when used with MultiTimeFrame Strategies

I have created a Multi Timeframe Strategy which when evaluating the Indicator Values for the Added Bars does not get the correct values when compared to a Chart with the same timeperiod and Indicator.

I have created a sample Strategy that uses the amaSuperTrendU11 Indicator. I add two longer period DataSeries with the same Instrument. I use the same amaSuperTrendU11 indicator on all timeperiods.

When the Print statements based on BarsInProgress are used to evaluate the Indicator values (i.e. StopLine and Trend) they are not correct according to charts that I load with the same timeperiods and same start and end dates.

The strat is attached. I used a base chart of 10min and the variables in the Strat are currently defined to use both 60min and 240min for the AddDataSeries.

I am evaluating this with the Strategy Analyzer, therefore looking at Historical Bars. I have reviewed the documentation about using MTF strats but the Indicator values based on both additional data series are no where in line.

I have also tried the same with some of my other indicators and I get similar incorrect results.

I would really appreciate some help in understanding why I can not get the Indicator values in the strat to line up with the Indicator values in the Charts.

Thanks,
ATC

June 8th, 2020, 09:16 AM

Hi tornadoatc,

I have not tried your strategy but from description I believe there is a conversion problem - as they are not linear indicators, like moving averages.
I will try to find a Fat Tails instructions how to convert this type of indi and let you know.

Cheers!

June 10th, 2020, 06:24 AM

@ tornadoatc,

Have a look here for non-linear conversion of indicators - as explained by Fat Tails.

Configuring anaSuperTrend

Occasionally the SuperTrend stop (trend?) indicator is completely contradicted by the price action that follows. Here's a particularly nasty example on TF today. Is there any configuring I can do in the parameters to increase the reliability of …

Post #12

Hope this helps.

Cheers!

MTF Strategy Problems

Discussion in NinjaTrader

MTF Strategy Problems