Multi-TimeFrame in Ver 7

[abfc123]

Hi,

I would just like to clarify some coding concerns.

I have a strategy running on 1min data (primary series) which relies on Daily data for info such as previous Close and daily ATR.

While running on intraday basis I want to know the previous days close
double lastDailyClose = Closes[1][0];

I also want to know the previous 50 days ATR
double DailyATR = ATR(BarsArray[1],atrLookback)[1];

It would be intuitive that the ATR is given using the same zero [0] index as per the Close but this gives me a zero value.
I just want to verify that this is the correct way of getting the ATR.

Thanks


protected override void Initialize()
{
Add(PeriodType.Day, 1);

CalculateOnBarClose = true;

}

protected override void OnBarUpdate()
{
// 50 Days lookback
if (CurrentBar < 72000) //700
return;

if (BarsInProgress != 0)
return;

double DailyATR = ATR(BarsArray[1],atrLookback)[1];
double lastDailyClose = Closes[1][0];


}

[NinjaTrader_RyanM1]

Hello abfc123,

You should be able to use index [0] here as well. I set up the same snippet as yours only changed to index 0 and was able to view non-zero values here.

I would add print statements that print the timestamp of the secondary series, so you can see what bar is used given the index.

Print("0: " + Times[1][0]);
Print("1: " + Times[1][1]);

[abfc123]

I am running a 1min primary bar backtest.
If I use the 0 index for the ATR, I get zero values for the current day.
It appears that unlike the Close[0], the ATR[1] refers to the last complete Daily Bar.

In the same strategy, I am trying to reset some variables at the start of a new daily sesssion(5.01pm).
How do you recommend that i test if the last minute bar was the start of a new session.
I tried testing for the close of the secondary Daily Bar series (if (BarsInProgress == 1)), but doesn't appear to work.

Thanks.

[NinjaTrader_Bertrand]

We already talked about the reset in another thread - is the index of 1 giving your the correct ATR value? Do you have enought data loaded for the added series to calculate the ATR you need?

[abfc123]

Hi,

There are more than sufficient bars.
It appears that the ATR value with an index of 0 is empty if called from within a partial daily bar, whereas with the Close BarArray it would be the last completed daily bar.

This indicator index usage seems different to the BarsArray usage.


protected override void Initialize()
{
Add(PeriodType.Day, 1);

CalculateOnBarClose = true;

}

protected override void OnBarUpdate()
{
// 50 Days lookback
if (CurrentBar < 72000) //700
return;

if (BarsInProgress != 0)
return;

atrLookback = 50;

double DailyATR = ATR(BarsArray[1],atrLookback)[1];
double lastDailyClose = Closes[1][0];

string str = "Closes[1][0]("+Closes[1][0]+") at " + Times[1][0].ToString() + " ATR=" + DailyATR;
Print(str);

Thanks

[NinjaTrader_RyanM1]

I'm using the snippet below to compare:

 
double lastDailyClose = Closes[1][0];
double myBarsArray = SMA(BarsArray[1], 1)[0];

Print("ldc: " + lastDailyClose);
Print("mba: " + myBarsArray);

The values match up, and I'm not seeing the issue with empty or zero returned. Can you let us know exactly how to setup a test to see what you're seeing.

[abfc123]

Secondary Bar index

Hi Ryan,

Here is a strategy with output snippet:-
lastDailyClose(80.72) at 10/11/2010 5:00:00 PM MinuteBarTime=10/12/2010 1:54:00 PM DailyATR_n0=0 DailyATR_n1=1.34248242936283 myBarsArray=0
lastDailyClose(80.72) at 10/11/2010 5:00:00 PM MinuteBarTime=10/12/2010 1:55:00 PM DailyATR_n0=0 DailyATR_n1=1.34248242936283 myBarsArray=0
lastDailyClose(80.72) at 10/11/2010 5:00:00 PM MinuteBarTime=10/12/2010 1:56:00 PM DailyATR_n0=0 DailyATR_n1=1.34248242936283 myBarsArray=0
lastDailyClose(80.72) at 10/11/2010 5:00:00 PM MinuteBarTime=10/12/2010 1:57:00 PM DailyATR_n0=0 DailyATR_n1=1.34248242936283 myBarsArray=0
lastDailyClose(80.72) at 10/11/2010 5:00:00 PM MinuteBarTime=10/12/2010 1:58:00 PM DailyATR_n0=0 DailyATR_n1=1.34248242936283 myBarsArray=0
lastDailyClose(80.72) at 10/11/2010 5:00:00 PM MinuteBarTime=10/12/2010 1:59:00 PM DailyATR_n0=0 DailyATR_n1=1.34248242936283 myBarsArray=0

Thanks

[abfc123]

I should also have added that it is run against AUDJPY 1 minute Primary Bar data with 'Forex' session Template set to Session start/end at 5pm EST

[NinjaTrader_RyanM1]

One thing to understand is this will work differently in real time versus historical.

10/11/2010 5:00:00 PM MinuteBarTime=10/12/2010 1:54:00

The time stamp for the minute bar is earlier than the time stamp of the 10/12 daily bar (5:00 PM).

You can access the in-process daily bar in real-time, but you must store your chart data as historical. Check this option under tools > options > Data > Save chart data as historical.

Check this setting, disconnect, and reconnect, and then run this strategy.

[abfc123]

Hi,

I think you misunderstood the question and the attached .cs file.

To clarify/simplify:-

I am running a backtest on historical data, not realtime trading.

I am running a 1 minute primary bar series.
I am adding a daily bar series : - Add(PeriodType.Day, 1);
I have set CalculateOnBarClose = true;

During intraday analysis([email protected]) I want to know the previous Days closing price:- Closes[1][0];
I also want to know the 50 period Daily ATR

Do I use:-
ATR(BarsArray[1],50)[0];
or
ATR(BarsArray[1],50)[1];

Thanks

[NinjaTrader_Bertrand]

abfc123, you want to reference a bar further back here, otherwise you would see 0 for the not yet closed daily bar returned (CalculateOnBarClose == true).

[abfc123]

Hi Bertrand,
This is what I observed.
I had just presumed however that the index denoting lookback for the Close of an barArray would be the same for an indicator using the same barArray. It appears this is not the case.

What I am attempting to do is run a 1minute strategy that tests on tick-by-tick basis(onBarClose=false) for a break above the previous Dailyclose+the daily ATR.
I wanted to calculate the Close and ATR at the completion of the last Daily bar
if (BarsInProgress == 1 && FirstTickOfBar){
DailyATR = ATR(BarsArray[1],atrLookback)[1];
lastDailyClose = Closes[1][0];
}

then I want to test on a tick-by-tick basis if the primary 1minute bar high H[0] exceeds the level

Is this going in the right direction?

Thanks and regards

[NinjaTrader_RyanM1]

abfc123,

I would simplify this further so you can verify everything works the way you expect. In all my tests there has not been a different referencing model for BarsArray[1] compared to Closes[1].

The time stamps of the different series is critical to know which daily bar you're referencing.

I would use this statement on your 1 minute series:
DailyATR = ATR(BarsArray[1], 1)[0];

Compare this to the standard ATR(1) applied to a daily chart. It works differently historical / real time and with COBC true / false - try these combinations.

Once this lines up with your expectations, then you can move on to the more complicated items, like combining COBC true / false logic, taking 50 day averages, etc.

[abfc123]

Hi Ryan,

Think I'm going in circles here.
Please see previous message with output and .cs attached.
Closes[1][0]; gives the previous completed Daily bars close
ATR(BarsArray[1], 1)[0]; gives zero
ATR(BarsArray[1], 1)[1]; gives the last ATR value

This is with onBarClose=true so both values are dependent on bar being completed.

I am trying to verify whether the index subscript for an Indicator is different to BarArray

Thanks

[NinjaTrader_RyanM1]

Sorry for your frustrations here.

ATR(BarsArray[1], 1)[0]; gives zero

We have to identify why you are getting these results as this has not been the case in any of my tests. Can you try with the attached file? Apply to 1 minute chart. It should plot ATR from the daily series, and uses index [0] to do this.