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Multi Timeframe EA

  • #1
  • First Post: Jan 28, 2008 12:53pm Jan 28, 2008 12:53pm
If you want to make an EA that works on all timeframes,What would you prefer to do ?

1. Run the same EA on multiple charts.

2. Program the EA so it would be opened on a single chart, no matter what timeframe, and perform the same code on all timeframes one by one ?

I have a Dual Core processor.
My only concern in the second option is that it would run on all timeframes one by one while the first option makes it run at the same time.

Any advice would be useful.

Thank you
  • #2
  • Jan 29, 2008 10:42am Jan 29, 2008 10:42am
Quoting guy1243
If you want to make an EA that works on all timeframes,What would you prefer to do ?

1. Run the same EA on multiple charts.

2. Program the EA so it would be opened on a single chart, no matter what timeframe, and perform the same code on all timeframes one by one ?

I have a Dual Core processor.
My only concern in the second option is that it would run on all timeframes one by one while the first option makes it run at the same time.

Any advice would be useful.

Thank you
One can write the EA to gather data from different time frames and even different pairs...

Inserted Code
extern int    TradingPeriod=60;

string pairs[] = { "EURUSDm","USDJPYm","GBPUSDm","USDCHFm","EURCHFm","AUDUSDm","USDCADm",
                   "NZDUSDm","EURGBPm","EURJPYm","GBPJPYm","CHFJPYm","GBPCHFm","EURAUDm",
                   "EURCADm","AUDCADm","AUDJPYm","NZDJPYm","AUDNZDm" };
int periods[] = { 1,5,15,30,60 };

string TradeSymbol, CommentHeader, CommentsPairs[];
int      TradePeriod;
int      Pair = -1;
int      PPeriod = -1;
int      b1,b2,s1,s2;
double   bid,ask,point,bSL1,bSL2,sSL1,sSL2,btp1,btp2,stp1,stp2;

int init(){
/*
if(IsDemo()==true)   { string demo=" is demo ";}
if(IsDemo()==false)  { demo= " is live ";}
Comment(TerminalName()," ",demo);
*/
   if ( IsTesting() ) { if ( ArrayResize(pairs,1) != 0 )  pairs[0] = Symbol();   } 
   if ( IsTesting() ) { if ( ArrayResize(periods,1) != 0 )  periods[0] = Period(); }

return(0);  }

int deinit(){return(0);}

int start(){


//Select Pair from Array
Pair = (Pair+1) % ArraySize(pairs);
TradeSymbol = pairs[Pair];
if(IsTesting()) {TradeSymbol=Symbol();}
//Assign Symbol Bid/Ask & point values
bid=MarketInfo(TradeSymbol,MODE_BID);
ask=MarketInfo(TradeSymbol,MODE_ASK);   
point=MarketInfo(TradeSymbol,MODE_POINT);

//Pair Chart Period Setup check loop
for(int p=0;p<5;p++) {
      PPeriod = (PPeriod+1) % ArraySize(periods);
      TradePeriod = periods[PPeriod];
      if(IsTesting())   {TradePeriod=Period();}
hope this helps some...
  • #3
  • Feb 23, 2010 12:44am Feb 23, 2010 12:44am
I've seen problems backtesting EAs that were using other timeframe information. Do you know if they would work correctly if put on a real chart, but querying other timeframes?
  • #4
  • Feb 23, 2010 5:16am Feb 23, 2010 5:16am
Quoting Zsych
I've seen problems backtesting EAs that were using other timeframe information. Do you know if they would work correctly if put on a real chart, but querying other timeframes?

I think that depends and nobody can answer that without knowing the application thoroughly. For instance you might be getting a hour value for a 15M TF and based on that data, doing something. In another 20 minutes or so, the hourly value has changed and now the action taken appears to be a program problem.

But if the programmer is aware upfront of the situation, he can code to handle or decide that the situation is illogical and shouldn't be attempted. I don't think anybody can make a blanket statement that using other TF data always causes a problem. And I really don't understand how it would be more of a problem in backtesting than in real time testing unless it was something obscure.
  • #5
  • Feb 24, 2010 9:38am Feb 24, 2010 9:38am
I was using a system that used iBars(symbol, timeframe)) to count bars, and run logic for new bars.

Only, where the EA worked right on its own timeframe, it didn't work right from other timeframes (I was using M1 for the EA.. and I think the tester compiles all lower timeframes but not necessarily higher).

Unfortunately, that makes me unsure of how well the EA would work if placed on the wrong timeframe chart.
  • #6
  • Feb 24, 2010 10:10am Feb 24, 2010 10:10am
Quoting Zsych
I was using a system that used iBars(symbol, timeframe)) to count bars, and run logic for new bars.

Only, where the EA worked right on its own timeframe, it didn't work right from other timeframes (I was using M1 for the EA.. and I think the tester compiles all lower timeframes but not necessarily higher).

Unfortunately, that makes me unsure of how well the EA would work if placed on the wrong timeframe chart.

If there are problems with real time execution I am sure there will be problems during backtesting and vice versa. In backtesting you have to select the right mode for the EA - every tick, bar start, intervals or otherwise you will get different results, but that is not a defect in Tester.

I used iTime() to know if a new bar had started on another TF or pair. Not sure about iBars functionality, but it probably is useful if used properly.
  • #7
  • Feb 24, 2010 10:14am Feb 24, 2010 10:14am
Quoting guy1243
If you want to make an EA that works on all timeframes,What would you prefer to do ?

1. Run the same EA on multiple charts.

2. Program the EA so it would be opened on a single chart, no matter what timeframe, and perform the same code on all timeframes one by one ?

I have a Dual Core processor.
My only concern in the second option is that it would run on all timeframes one by one while the first option makes it run at the same time.

Any advice would be useful.

Thank you

Unless you are a very experienced programmer stick with option 1. Option 2 is much harder to code and really challenging to test and debug. Once the EA is working for one pair / timeframe it will usually work fine for others and running multiple copies is CPU intensive but probably manageable.
  • #8
  • Last Post: Feb 24, 2010 11:08am Feb 24, 2010 11:08am
regarding multi tf, the chalenge will arise when we use a value of price/indicator based on bar number, like Close[1], High[1], iRSI(Null,0,....,1) etc.

one of the work around would be to change how we refer to all bar's based values.

for example:
instead of using
double lastHigh = High[1],
use
int shift = iBarShift(NULL,TimeFrame,Time[0]);
double lastHigh = iHigh(NULL,TimeFrame,shift+1);

another example:
double ema = iMA(NULL,0,MaPeriod,0,MODE_EMA,PRICE_CLOSE,1);
change to
double ema = iMA(NULL,TimeFrame,MaPeriod,0,MODE_EMA,PRICE_CLOSE,shift+1);

so, when the EA's strategy is using H4 TF, by specify TimeFrame=240 (or PERIOD_H4), those above values (lastHigh and ema) will always return H4 based value, no matter what timeframe the ea was run at. only make sure EA is not executed on TF higher than what is supposed to run (in this case, daily/weekly/monthly TF)
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