Multi time frame question for backtesting

Duvald · Postby **Duvald** » 11 Dec 2008

Hi,
i'm making a backtest system with a multi 2 charts of the same symbol: on small timeframe (data1) and one longer timeframe (data2).

I enter position when data1 crosses previous high of data2. So trade is occurring on data1.

Stop loss is placed at entry price - atr value calculated on previous bar of Data2.

How can I use easylangage to calculate ATR of the bar previous from entry bar on Data2, since trade occured on data1 ?

Thanks

TJ · Postby TJ » 11 Dec 2008

value1 = close of data2

SUPER · Postby **SUPER** » 11 Dec 2008

There are some question marks about use of "Crosses" in your strategy have a look at following thread for more explanation.

http://forum.tssupport.com/viewtopic.ph ... ght=#21351

Duvald · Postby **Duvald** » 12 Dec 2008

value1 = close of data2

I don't see how this reference ATR of previous bar from entry bar, on data2 ?!

Marina Pashkova · Postby **Marina Pashkova** » 18 Dec 2008

Hi,
i'm making a backtest system with a multi 2 charts of the same symbol: on small timeframe (data1) and one longer timeframe (data2).

I enter position when data1 crosses previous high of data2. So trade is occurring on data1.

Stop loss is placed at entry price - atr value calculated on previous bar of Data2.

How can I use easylangage to calculate ATR of the bar previous from entry bar on Data2, since trade occured on data1 ?

Thanks

Hi Duvald,

Try the code below:

Code: Select all

input:

	length(10);

var:

	val(0, data2);

val = AvgTrueRange( length ) of data2;

setstoploss(val[1]);

Let me know how it works for you.

Multi time frame question for backtesting

Multi time frame question for backtesting

Re: Multi time frame question for backtesting