Multitime frequency system

[stefy]

Hi

I developed a system on 1min bars, I want to put a condition on the 5min bars.
I did so:

protected override void Initialize()
{
Add(PeriodType.Minute, 5);

Add(EMA(20));

CalculateOnBarClose = true;
}

// Condition set 1

if (EMA(BarsArray[1], 2)[0] > EMA(BarsArray[1], 20)[0])


{
...
}


Then I run it on 1m data. Is it correct? I'm asking because, when I watch the 1m chart of the back test, I see plotted the two EMAs (but they're supposed to be calculated on 5m!).
Does BarsArray[1] automatically refers to the 5m data only, or I should use another BarsArray[2] for the 1m data (which I don't think makes sense anyway).

Thank you a lot

[NinjaTrader_Ray]

BarsArray[0] = 1 minute
BarsArray[1] = 5 minute

In C#, indexes are zero based.

You also have to fitler OnBarUpdate() events by BarsInProgress

if (BarsInProgress == 0)
// Process my 1 minute bars
else if (BarsInProgress == 1)
// Process my 5 minute bars

[stefy]

Thank you, Ray.
I want to use just the 1min bars (using the 5min just to calculate the averages). So I added:
if (BarsInProgress != 0)
return;
as in the SampleMultiframe.

Now it looks like:

protected override void Initialize()
{
Add(PeriodType.Minute, 5);

Add(EMA(20));

CalculateOnBarClose = true;
}

if (BarsInProgress != 0)
return;

// Condition set 1

if (EMA(BarsArray[1], 2)[0] > EMA(BarsArray[1], 20)[0])


{
...
}


Is that correct now?

Thank you

[KBJ]

I had some problems with this last year when I was trying to do this.

If memory serves me, there's a basic problem with checking bars on a DataSeries from another timeframe.

The problem stems from the fact that there will be a different number of bars for the 1-Min and 5-Min timeframes, and I don't think the indicators (such as EMA that you're trying to use) are written to take this into account.

Therefore, I don't think the calculations will work correctly when you're running in the 1-Min (primary) timeframe and you try to invoke EMA for the 5-Min timeframe DataSeries.

The solution I used at the time was to re-code the logic of the indicator within my strategy being sure to take this into account.

[NinjaTrader_Ray]

Originally Posted by stefy

Thank you, Ray.
I want to use just the 1min bars (using the 5min just to calculate the averages). So I added:
if (BarsInProgress != 0)
return;
as in the SampleMultiframe.

Now it looks like:

protected override void Initialize()
{
Add(PeriodType.Minute, 5);

Add(EMA(20));

CalculateOnBarClose = true;
}

if (BarsInProgress != 0)
return;

// Condition set 1

if (EMA(BarsArray[1], 2)[0] > EMA(BarsArray[1], 20)[0])


{
...
}


Is that correct now?

Thank you

Incorrect.

if (BarsInProgress == 1) return;

is what you want.

Now this method is called only on the 1 minute chart.

Then your code

if (EMA(BarsArray[1], 2)[0] > EMA(BarsArray[1], 20)[0])

is saying

if (2 period ema on 5 minute is greater than 20 period ema on 5 minute) do something..