MTF Automation

[faust]

Has anyone had experience with automating execution based on multi-timeframe filter signal generation?

 

[globalarbtrader]

Has anyone had experience with automating execution based on multi-timeframe filter signal generation?

I don't understand what this is.

Can you give an example?

GAT

 

[faust]

I don't understand what this is.

Can you give an example?

GAT

using conditions from two or more timeframes to enter/exit a trade
eg, signal occurring on a lower/faster timeframe aligned with a higher/slower timeframe but actually coded

 

[globalarbtrader]

using conditions from two or more timeframes to enter/exit a trade
eg, signal occurring on a lower/faster timeframe aligned with a higher/slower timeframe but actually coded

Well I do that

But I wouldn't call that automating execution; it's signal automation which may or may not have automated execution of the resulting desired trade.

GAT

PS I do have automated execution as well, but as I said that's nothing to do with timeframes used for signal construction.

 

[faust]

let's say it's not timeframes. Let's say it's fixed-price brick logic. Logic is super clear, already got it in NT/TS automated - backtests are stellar phenomenal but based on flawed bar OHLC parameters. Using discretionary manual execution for now, need to replicate intrabar entry logic across multi-aggregation period (larger brick size for dominant trend, smaller brick size for precision entry). No indicators, just pure price action, nuffin but bars.

 

[analgotrader]

...already got it in NT/TS automated - backtests are stellar phenomenal but based on flawed bar OHLC parameters.

Can you give an example of "flawed bar OHLC parameters"? I don't understand what that means.

 

[SunTrader]

I don't personally, but there are plenty of TradeStation clients using automated MTF strats. No doubt other platforms as well. But as always if tick level data is not used for testing assumptions are made of where fills happen. Which is never a good thing.