Mutiple TimeFrames in TradingSystem

Mutiple TimeFrames in TradingSystem

chaz
2013-03-08 00:17:05

Hi,

Three questions:
1. Having 1min intraday data in IntraDay DB I would like to properly create Trading System rules to use different timeframes for
Buy rules & Sell rules. Could you provide an example for 5 and 30 min?

2. What controls the timeframe (TF) used by Ranking System?

3. It looks to me that when TF is set in "Symbols & Dates" of a Trading System it overrules the TimeFrame calls in Strategy Section.
I was using Timeframeapply & TimeframeDecompress, do I need to use any other call?

Thx in advance for answers,

Chaz

QuantShare
2013-03-08 11:02:03

Hi,

1- Here is an example using 5min time frame

rule1 = Timeframeapply(60*5, close > sma(30));
rule1 = TimeframeDecompress(rule1);

2- The ranking system will use the same time frame as the trading system

3- TF in "Symbols & Dates" does not override TimeFrame calls. It define the default time frame settings.

For example: (You define 10-min time frame)

rule2 = close > sma(30);

// The above rule will be calculated based on 10-min data.

If you add "rule1" defined in (1) then this rule will be based on 5-min data. "TimeframeDecompress" synchronize the result with the 10-min data.

You can plot these rules on a chart to see exactly how they work.

chaz
2013-03-09 00:20:24

Hi QS,
Thank you for the answer. I tried it in Trading system but it throws an error when I run it with intraday timeframe:
"QuantShare encountered a problem
Please report this error by clicking on send
Unexpected behaviour (1) "

I sent it few times but I do not know if QS receives those messages.

the formulas are:
buy = TimeFrameDecompress(TimeframeApply (3*60,close > sma(7)));
sell = TimeFrameDecompress(TimeframeApply(3*60, ema(7) > close));

They work fine when default timeframe (in Symbols & Dates is 'Daily') and
in Chart
plot(buy,"cross_Up",ColorBlue);
plot(sell,"cross_Down",ColorRed);

Any idea what is wrong & why it doesn't work with intraday data ?

QS Vers. 2.9.7 Win7x64 SP1

QuantShare
2013-03-09 10:11:38

What about when using "TimeFrameDecompress" in a chart?
You probably have a memory issue, that is why you are receiving this exception. Try performing a backtesting with less symbols.

chaz
2013-03-12 22:32:28

Thx for the answer.
Decreasing number of symbols didn't change the result.
I re-installed the QS application and the problem disappeared.
So either previous upgrade to v2.9.7 didn't go through as required or new install bits may have helped.

Best Regards

Chaz

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