Topic: Multiple Timeframe Strategy - limitations?

I've been trying to write a strategy where:
1. After an initial setup on the Hourly time-frame is fulfilled
2. The strategy should look for multiple entries on the 5 minute time-frame when the specified 5 minute time-frame entry criteria are fulfilled.

My concern is that there may not be a way to specify this behaviour using FSB?

It appears that one can write a strategy where both an Hourly setup and a 5 minute entry 'Opening Logic Condition(s)' are defined (in logical group A), but the strategy will only execute only once - each time the Hourly condition and 5 minute 'Opening Logic Conditions' occur at the same time.

This is not the desired behaviour described above.
Is there some way to define the desired behaviour or is this a limitation in FSB  and would require custom  written code?

I think I understand that using multiple Logic Groups (A and B) creates and either/or rule - where the strategy will execute if either condition is fulfilled - so this is not helpful in my situation.

Also, e.g. using 'Signal Shift' on the 5 minute time-frame alters the signal properties, again without fulfilling the desired strategy execution.

I have tried to describe the problem as clearly as possible but can provide additional details if required.
(I would prefer not to disclose the specific strategy details publicly if possible)

Much appreciated

Re: Multiple Timeframe Strategy - limitations?

I understand you about disclosing the details, but it would help to know your problem better. If you have a condition fulfilled at 1H, it will last for the next 12 5Min bars, therefore if another condition is allowing a trade during that span of time, position gets opened. Can you tell what kind of logics are you using?

Re: Multiple Timeframe Strategy - limitations?

Thanks for your help once again, Footon.

I'm using an oscillator requiring the price to cross downwards below a level on 1 HR; and upwards above a level on the 5 min time-frame. (with some minor additional settings on both)

As you correctly point out - the 1 HR fulfilled condition lasts for the next 12 x 5 minute bars.

But, I need the 1 HR condition to remain valid, often for a few hours, during which the 5 minute oscillator may take multiple trades, until the 1 HR condition is negated by an additional criteria - which I have yet to work out how to specify (by a time limit or price crossing a 1 HR level) - as it's not a 'Closing Condition' for each of the 5 minute entries.

Not sure if that's a clearer description or sufficient info to confirm if I have hit a limitation of either my current ability to use FSB or of the available FSB Strategy design criteria?

I note you're a long-standing and very helpful member here, so perhaps I could privately share more info if that's OK.

It's my observation of the behaviour of a long term successful strategy I have studied closely (without access to the EA); so my observations of its behaviour may be very flawed and just a coincidental strong correlation (but not causation); but it may or may not still have some value - apart from my limitations and learning curve to use FSB effectively as I'm not a programmer.

Within the limitations of what I have succeeded in creating in FSB so far - it shows some promise and similarity in trading and high win/loss ratio behaviour.

Re: Multiple Timeframe Strategy - limitations?

You can let me know more privately, no problems! But I think I've got enough info at the moment.

I just tested your concept and there's one thing which is not working properly in FSB! I consider it a small bug, I will consult with Miroslav, and after that I'll return here.

Speak to you soon!

5 (edited by vidagig_13 2015-03-09 17:18:06)

Re: Multiple Timeframe Strategy - limitations?

Thanks Footon.

The second issue, coincidental with you mentioning a possible bug, is that I have noticed a possible bug in the Strategy when exported to to MT4 causing backtests to generate historical data and an EA loading error
(See screenshot of error - "H1 Wrong MovingAverage Parameters") - so it fails to run.
But as a test, the MT4 Sample MacD EA runs fine.

I've documented this in detail but intentionally held off on mentioning this secondary issue in my initial inquiry.
I did install the latest FSB version and tried again to troubleshoot, but that didn't help.

Chat more l8r. Thanks again.

Re: Multiple Timeframe Strategy - limitations?

You have to set starting date for MT4 backtester in order to force it to load more data. What I see from your screen shot is that you are using MA with period of 14 but there are only 9 bars.
See this video for more details: … CHs10pT3qP


You have to load also the LTF data in MT. However, I'm not sure how to make the MT tester load them. Probably you have to run a fake test on that data first.

Re: Multiple Timeframe Strategy - limitations?

I'm back! I've been reminded of FSB design features (thank you, Miroslav!), and had a moment of "how I didn't come up with it myself???" big_smile

Lets get to the point: when setting up LTF indi, turn your attention to signal repeat. In my example (screenshot below) there's a strat of Accelerator Osc, logic is H1 crosses down, M5 crosses up. I want H1 signal to last for 2 hours. Therefore signal repeat setting will be 12*2=24.

The blue box depicts the signal lasting span, red box signal repeat parameter setting, should be pretty self-explanatory. You can even see 2 trading signals, it should be rather clear now I hope!

8 (edited by vidagig_13 2015-03-09 17:24:48)

Re: Multiple Timeframe Strategy - limitations?

Hi Miroslav & Footon

Thank you both for the very quick and helpful guidance.
I will check the video to clarify what the acronym LTF data refers to; and Miroslav's other comment.

I will try again and update here.

Much appreciated.