frameSync() in multi-asset/algo scripts and PlusDI

Posted By: Zheka

frameSync() in multi-asset/algo scripts and PlusDI - 04/01/21 07:59

This example script:

Code

 function run()
{
		
	set(LOGFILE);		
	
	BarPeriod = 60; 		
		
	LookBack = 1500; 		
	
   int iTF=1;
	
	while(asset(loop("AUD/CHF","EUR/JPY")))  
	{
			int tf = (Itor1*2)+2 ;  // i.e.2 for AUD/CHF or 4 - for EUR/JPY, potentially - optimized
			TimeFrame = frameSync(tf);			
						
			iTF=TimeFrame;			
			
			TimeFrame=1; //
			vars dH = series(priceHigh(0),50);
			vars dL = series(priceLow(0),50);
			vars dO = series(priceOpen(0),50);
			vars dC = series(priceClose(0),50);			  
			
			vars dmiP = series(PlusDI(dO,dH,dL,dC,15),5);  
			
			watch("Asset=", Asset," TF=", iTF, " dmiP=", dmiP[0]);
	}

}

produces this output:

Quote

[4: Thu 20-01-02 12:00] (0.678160)
Asset= AUD/CHF TF= -1 dmiP= 100.00
Asset= EUR/JPY TF= -1 dmiP= 0.00000
[5: Thu 20-01-02 13:00] (0.678970)
Asset= AUD/CHF TF= 0 dmiP= 100.00
Asset= EUR/JPY TF= 0 dmiP= 0.00000
[6: Thu 20-01-02 14:00] (0.678880)
Asset= AUD/CHF TF= -1 dmiP= 100.00
Asset= EUR/JPY TF= 0 dmiP= 0.00000
[7: Thu 20-01-02 15:00] (0.679070)
Asset= AUD/CHF TF= 0 dmiP= 100.00
Asset= EUR/JPY TF= 0 dmiP= 0.00000
[8: Thu 20-01-02 16:00] (0.678640)
Asset= AUD/CHF TF= -1 dmiP= 100.00
Asset= EUR/JPY TF= -1 dmiP= 0.00000 // should be -3 for EUR/JPY

. So, frameSync doesn't seem to work correctly in a multi-asset/algo setup.

Also, PlusDI/MinusDI variants of the functions explicitly accepting 4 price series also do not work. This is unrelated to timeframes or frameSync; when TimeFrame-related code is commented out, these functions still return gibberish.

Posted By: Petra

Re: frameSync() in multi-asset/algo scripts and PlusDI - 04/02/21 12:15

Hmm, from how I understand the manual the purpose of framesync is syncronizing to 1, 4, or 24 hours. So 1, 4, or 24 bars are ok, but not (Itor1*2)+2. The 50 in your series is likely also wrong because PlusDI is an accumulative indicator.

Posted By: Zheka

Re: frameSync() in multi-asset/algo scripts and PlusDI - 04/02/21 14:19

Yes, indeed, other values besides 1 or 4 do not work correctly. As a feature request then, can framesync() be made to work correctly for any divisor of 24?

PlusDI() being "accumulative" indicator, it uses only 1 past value of itself in the calculation of the next, right? So, an input series of length 50 should be more than enough (even if a simple average is used in the initial calc)...

Why would it work for an input series length of 54+?

Is it influenced by UnstablePeriod=40? But UnstablePeriod "strips off initial values from the indicator", not inputs....Ignoring it will lead to "meaningfully incorrect" indicator values, but should not influence the output of the indicator function per se...

Also, "Cumulative indicators that use series - such as LowPass, DominantPeriod, UO, etc. - use LookBack as unstable period" (which is set to 1500 in my script above).

So, how does it work and what are the rules?

Posted By: jcl

Re: frameSync() in multi-asset/algo scripts and PlusDI - 04/06/21 15:58

In your case the indicator needs to look back 55 bars: Timeperiod 15 plus Unstableperiod 40. Indicators with internal series like Lowpass need no unstable period.

For being on the safe side, don't give a series length unless you are sure what you need. The default length will always work.