Multitimeframe issue

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Jonny473
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Multitimeframe issue

Postby Jonny473 » 18 Jul 2017

Lets assume i have a Daily strategy and I want to rebuild it into a multi timeframe strategy. I am assuming that after the entry condition became valid and TP/SL are not hit, the daily signal is still valid. The problem I see with a smaller TF with different entry conditions is acting upon the daily signal, it only becomes valid when the entry condition of the Daily TF is valid, otherwise the strategy on the smaller TF wont trigger. This is the problem I want it to trigger as long as the trade on the Daily TF is open, not only when the entry condition is met!

See the graphic here:

Image



Using the Daily strategy on its own, the trade would remain open for 5 days. The entry condition for the Daily signal is only met when the trade is entered, after its just TP/SL. So using a smaller TF upon the Daily signal, in this example 30 Min., makes the 30 Min strategy (assuming that the entry conditions of the 30 Min strategy are met) only trigger of the Day of the entry of the Daily signal. But I want the 30 Min to trigger all 5 days the Daily trade is hypothetically open!

How can i tackle this problem? Create an indicator of the daily Signal with a lookback function to keep entry signals valid, although they did not occur in this bar? Any recommendations?

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JoshM
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Re: Multitimeframe issue

Postby JoshM » 18 Jul 2017

The easiest way I think would be to write whatever entry condition you want to use in code. And then also write code to disable the entry condition when something else happens. (I assume here you don't want to keep the entry condition always on after it happened for the first time, so when 'something' happens it should probably be turned off.)

But I'll have to say that my suggestion might not be the best, since I'm not sure if I follow you. That's because I don't see the 'issue' and 'problem' you talk about. Doesn't it work for you? Because a multi-time frame strategy should definitely work with MultiCharts. Hope this makes sense. :)

Jonny473
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Re: Multitimeframe issue

Postby Jonny473 » 18 Jul 2017

Thanks for the answer Josh:

Let me describe it this way: You have a Daily strategy that is superb, not Overoptimized and worked well for months/years. The only issue is the drawdown. Therefore you want to make it a Multitimeframe strategy, to "filter" the entry and exits based on the Daily signals. The Daily SL/TP is therefore obsolete, because your smaller TF strategy has its own entry conditions and TP/SL. On the other hand. you need the old Daily SL/TP, because you want your smaller TF strategy to possibly trigger, when Daily signal would still be open under "normal" Non Multitimeframe conditions.

This is the problem I am addressing here. So one solution might be to make an indicator out of the Daily signal, ADE and Global Variables might be another?! Just guessing, any recommendations?


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