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                                                   Using multiple time frame in the real time version

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GS
2012-10-29 17:45:11


Hi,

Using a screener if I want to filter stocks which are above/below rsi(14) 70/30 for the 10 and 30 minutes time frames at the same time, how we can do?

Here I do not want to use two different screeners, one for10mins and another for 30mins, instead I would like to use even lower time frame(may be 5mins) to run this screener.

Thanks



QuantShare
2012-10-29 17:56:39

  1

Use "TimeframeApply" function:
http://www.quantshare.com/sa-123-technical-analysis-using-multiple-timeframes-second-part

Example:
filter = TimeframeApply(10*60, rsi(14) > 70); // 10-minutes time frame





GS
2012-10-29 18:21:45

  0

Thanks a lot for such a prompt response, appreciated much.


GS
2012-10-30 03:14:57

  0

Just to extend the same approach, if I want to use rsi(14) > 70 based on "end of day" data in the real time version, how do I use this function?


QuantShare
2012-10-30 09:37:12

  1

In this case, you should pass a negative value as time frame.

Example:
filter = TimeframeApply(-1, rsi(14) > 70); // daily data
filter = TimeframeApply(-7, rsi(14) > 70); // weekly data



GS
2012-10-30 09:54:57

  0

Thanks a lot, this is really an extremely useful function.


GS
2012-11-08 06:39:41

  0

Hi,

When I tried to do back testing using above mentioned function, combining EoD and RT data, the first signal which I get is after nearly 5 months of RT data. I have the following:

1) RT data since November 15th 2011.
2) EoD data since Jan 1st 2001.

Both the data sets are in the same place and I can plot RT and EOD data without changing the account.

I start back testing from 1st December 2011, however, the first trade shown is in the month of May 2012, why so? I do not face this problem if I back test just using RT data, and I could see valid signals soon after the start date.

Thanks



QuantShare
2012-11-09 09:49:22

  0

Maybe the rule that uses the EoD data is not valid until May 2012.
If you still have problems with this, please send us an email to support including your formula, RT and EOD data for one symbol.



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