I have a question regarding multi time frame and money management script.
I saw that there was a TimeframeApply function. I tried to use it in Money management script but it does not seem to work.
I am using daily bars and wanted to check a simple indicator (like sma, or rsi) in a weekly time frame, so I set tf=5 for the time frame factor in TimeframeApply.
I suppose that, since I have daily bars, QS is able to expand them to weekly bars so that values can be found by the TimeframeApply function.
Is it correct ? If so, could you provide an example of how to use TimeframeApply to weekly bars in a daily setting in money manager ?
Another question is relative to the long/short portfolio settings.
I have found the way to set these settings (Portfolio.UpdateCategorySettings) but how to retrieve them ?
Is there something like a "GetCategorySetting" function ?
And last question, when would the userguide be updated with all the money management functions that are not yet in ?
Or is there someplace else on this site where to find the up to date informations regarding money management capabilities ?
- TimeframeApply creates a time-series in the specified time-frame.
To use this time-series with daily data, you should use the "TimeframeDecompress" function.
TimeframeDecompress(TimeframeApply(5, rsi(14)))
In the Money Management Script:
TimeSeries a = Data.ParseFormula("a = TimeframeDecompress(TimeframeApply(5, rsi(14)));").GetTimeSeries("Symbol", "a");
- There is no function to retrieve these settings. They are updated by you, so you can always store the values in some variables.
By default:
Long Strategy: "long" = 100
Long Strategy: "short" = 100
Long/Short Strategy: "long" = 50 and "short" = 50
- We will update the user guide very soon. A good way to learn about money management capabilities is to download money management items from the sharing server and see how they are implemented.
Again, thanks a lot for your help !
I think TimeframeDecompress is what I was missing.
Actually, I did download money management scripts from the sharing server and it helped me a lot. I am trying to put additional ideas to my own script.
What I like is that until now, QS seems to be able to handle the implementation of all that I need.
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