MTF entry doesn't work correctly

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MTF entry doesn't work correctly #419438 03/10/13 10:40 03/10/13 10:40
Joined: Nov 2012 Posts: 209 S SFF OP Member
SFF OP Member S Joined: Nov 2012 Posts: 209	Hi, I write this MTF script. It uses 15 min bar on entry and 4h on exits. By seeing a plot, 4h exit works correctly but entry is not what I expect, although both plots are correct. I think I am wrong at using MTF and I am not sure that where is scope for TimeFrame so plese correct it. Code: function run(){ set(PLOTPRICE+PLOTNOW); BarPeriod = 15; LookBack = 5000; StartDate = 20121024; NumDays = 5; set(TICKS); TimeFrame = 1; vars Close = series(priceClose()); vars tmp1 = series(SMA(Close,21)); TimeFrame = 16; vars Close = series(priceClose()); vars tmp16 = series(SMA(Close,21)); if(priceClose(0) < tmp1[0]) enterShort(); if(priceClose(0) > tmp16[0] ) exitShort(); plot("SMA15min", tmp1[0], 0, RED); plot("SMA4h", tmp16[0], 0, RED); } Last edited by SFF; 03/11/13 10:48.

Re: MTF entry doesn't work correctly [Re: SFF] #419533 03/11/13 12:33 03/11/13 12:33
Joined: Jul 2000 Posts: 27,935 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 27,935 Frankfurt	I suppose you wanted to enter a trade on every bar, but you called enterShort with a time frame of 16 bars. So a trade could only be entered on every 16th bar. Was that your problem?

Re: MTF entry doesn't work correctly [Re: jcl] #419536 03/11/13 12:52 03/11/13 12:52
Joined: Nov 2012 Posts: 209 S SFF OP Member
SFF OP Member S Joined: Nov 2012 Posts: 209	Yes, Only exitShort is called on every 16th bar and it is done correctly in the above script. But here, I want to enter on every bar if a condition is met on BarPeriod = 15. I want to define TimeFrame for every indicators used in a code. In MTF strategy, it is very helpful to see what indicator used for what time frame. This code is wrong? I defined TimeFrame = 1 here which is on every bar. Maybe It is wrong to use same Close vars in both TFs. Code: TimeFrame = 1; vars Close = series(priceClose()); vars tmp1 = series(SMA(Close,21)); Last edited by SFF; 03/11/13 13:43.

Re: MTF entry doesn't work correctly [Re: SFF] #419540 03/11/13 13:43 03/11/13 13:43
Joined: Jul 2000 Posts: 27,935 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 27,935 Frankfurt	Then just set TimeFrame back to 1 bar for calling enterShort.

Re: MTF entry doesn't work correctly [Re: jcl] #419544 03/11/13 13:49 03/11/13 13:49
Joined: Nov 2012 Posts: 209 S SFF OP Member
SFF OP Member S Joined: Nov 2012 Posts: 209	Thanks, It is works correctly now. For scope for TimeFrame, is it valid until another TimeFrame line?

Re: MTF entry doesn't work correctly [Re: SFF] #419609 03/12/13 13:25 03/12/13 13:25
Joined: Jul 2000 Posts: 27,935 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 27,935 Frankfurt	Yes, it stays valid until it is changed again.

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