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Multi timeframe settings

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    Multi timeframe settings

    Hello,
    I use Strategy builder to create a strategy that uses 2 time frames - 500 and 10000 ticks from one instrument - CL. Then I apply this strategy to the 500 tick open chart. In that strategy I use readings from MFI, MACD and Stochastic.
    The indicators will change their current value based on the chart settings like time period and Break at EOD, which is normal.

    1. What setting are used in the strategy for calculating indicators values from time frames different then the one the strategy is applied on?

    2. Why checking "Tick reply" changes the indicators values? You can easily check it, dublicate a chart and only apply Tick reply". How is that possible? Tick reply should only collect data, not manipulate it.

    How can I monitor the current indicator values a strategy is reading without unlocking the code as I am a trader, not a programmer and I would like to be able to make simple changes to the strategy from the Strategy builder.

    Regards,
    Hristo

    #2
    Hello icog111,

    Thanks for your post.

    In the strategy builder, you do not need to add the same data series as the chart data series because the strategy will automatically use the chart data series. In your example you would create a strategy that adds a 10000 tick series only and then when you apply to a 500 tick chart, the strategy would then use that 500 tick series as the default input in all conditions until you change the input series of the condition.

    To help see this I've created a short video that covers adding a 10000 tick series then referencing in both price data and an indicator: https://Paul-ninjaTrader.tinytake.co...QxNl82NDM3NjQx

    Regarding tick replay, I do not see a difference in the indicators. I used 2 500 tick charts of CL 11-17 with MFI, MACD, and stochastics, 1 chart with Tick Replay selected. They appear identical Can you provide further specific steps to replicate along with screenshots that show the difference you are seeing?

    To monitor the 10000 tick indicator values, you would need to add them to the chart manually as well as adding the 10000 tick bars to the chart. (Note the strategy does not know of a charts added dataseries or of a charts added indicators, it only knows of the initial chart bars.) I've created a short video to show how to add 10000 tick bars to your 500 tick chart along with the indicators referenced to the 10000 tick bars and then hiding the 10000 tick bars but leaving the indicators for monitoring: https://Paul-ninjaTrader.tinytake.co...Q3NV82NDM3NzYz
    Paul H.NinjaTrader Customer Service

    Comment


      #3
      Hi Paul,
      Thank you for your time.
      I also created a video, hope it will make clear what i am asking for.

      https://youtu.be/eM1xraegng4

      As (at the moment) tick reply is not important for me, the main question remains N1:

      What are the exact settings for the second data series (10000 tick) on a strategy, applied on 500 tick chart? I already have the indicators applied to that 10000 tick chart, but what are the settings which NT8 uses for calculating their values in the strategy (how many days, break at EOD, etc)?

      Is there a simple way to monitor them realtime?

      I am asking that because based on my observation my strategy misses entries, which means the indicators values i see on my screen (for the second chart, 10 000) are not the same the strategy works with.

      Regards,
      Hristo

      Comment


        #4
        Hello icog111,

        Thanks for your reply and video, very helpful.

        When a strategy is applied to a chart, the strategy and its added data series will use the settings as applied to the chart's data series. If your higher time frame requires more days to load then you would need to change the days to load in the charts data series.

        The way to monitor the indicators, with the strategy builder created code is as I showed in the video by using a proxy (duplicate) of the data series of the Higher time frame and then the indicators with exactly the same settings and referencing the higher time frame data source.

        Alternatively, you can use the "print" command in the Actions window to print the value of the indicators on a tick by tick basis. You would do this in a "set" where there are no conditions and only Print statements. If you choose to do this make sure to include a print that identifies either the time or the current bar number so you have some reference.

        Certainly changing the Break at EOD will change the way tick bars are formed as with Break at EOD true, the tick bar count starts over for creating the first bar of the session. This setting will alter the results of any data derived from the chart bars such as indicators.

        If you do not have sufficient data loaded, this can also impact the accuracy of indicators used.

        Regarding Tick replay, I replicated your chart from the video and I do not see any change in the indicators when I follow the same steps you showed with tick replay enabled or not. Please send your log and trace files into PlatformSupport[at]NinjaTrader[dot]com for review. Mark the e-mail Atten:Paul and please include a link to this thread for referencing.

        Please follow the steps below to manually attach your log and trace files to your e-mail

        Open your NinjaTrader folder under My Documents.
        Right click on the 'log' and 'trace' folders and select Send To> Compressed (zipped) Folder.
        Send the 2 compressed folders as attachments to the email.
        Once complete, you can delete these compressed folders.
        Paul H.NinjaTrader Customer Service

        Comment


          #5
          Hello icog111,

          I forgot to say in the last post that in your video of the strategy builder you had 3 data series, a 500 tick of the CL which is not needed as the chart provides this, a 10000 tick which is needed and a 500 tick of another instrument (6E). The 6E may be contributing to the issues of your strategy performance and I recommend that you remove it.
          Paul H.NinjaTrader Customer Service

          Comment


            #6
            Hello Paul,

            Based on your guidance i created that Print command which works perfectly for me. Now i can adjust the different time frames charts so whatever is on my monitor to be the same read by the strategy.

            As for the different data series, i am using data from 6E in my strategy setup, this is why i have it enabled. But i removed the 500 ticks data, you are right its not actually needed.

            I sent you the log files, hope you will be able to find out why that annoying "tick reply" bug happens.

            Comment

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