Tweet
I am a new eSignal user and need your help with getting around this very simple trading strategy. The only issue is around getting it work on multiple timeframe. I am currently reading through the EFS2 functions [inv() and sym()] which may turn out to be part of the solution but I am no where close to getting this work through the Formaula Wizard. So Any help is highly appreciated.
I use lower time frame strategy for timing exit/entry and higher time frame stratgy for Trend direction signal generation.
Description of the issue/requirement:
Strategy-1[S1] ---(Higher TimeFrame 'Week' for trend direction)
If current week Bar Close is greater than highest high for last 5 bars (last 5 week high), then doLong 'BUY' [S1.BUY]
If current week Bar Close is lower than Lowest low for last 5 bars (last 5 week low), then doSell 'SELL' [S1.SELL]
Strategy 2[S2]---(Lower timeframe 'Day' for Entry/Exit timing)
If current (Daliy) bar close is greater than highest high of last 5 bars (last 5 days high), then 'Go-Long' (Only if the last signal of strategy-1 is S1.BUY) OR Cover short postion (if the last Signal of Strategy-1 is S1.SELL)
If current (Daliy) bar close is lower than lowest low of last 5 bars (last 5 days low), then 'Sell' (Only if the last signal of strategy-1 is S1.BUY) OR Sell-short (if the last Signal of Strategy-1 is S1.SELL)
Individualy it is quite simple to plot individual strategy by itself. However, how do I go about incorporating backtesting and/or ploting the signals of Strategy-2 (lower timeframe) while considering the higher timeframe's (week) signal as the filter for trades in daily timeframe strategy ?
Do I need to use any EFS code to achieve this OR could it be done declaratively via EFS Formula Wizard ?
If code is the onyl option, how to I fetch the last signal value generated by the higher timeframe strategy and use it in the backtesting/ploting of the lower time frame (day) strategy.
Could someone please provide a framework for coding this in EFS and I'll try to work on it to cater to my need. I just need you to guide me in the right direction with coding this requirement.
Any help is much appreciated.
Many thanks in advance,
Utrader
I use lower time frame strategy for timing exit/entry and higher time frame stratgy for Trend direction signal generation.
Description of the issue/requirement:
Strategy-1[S1] ---(Higher TimeFrame 'Week' for trend direction)
If current week Bar Close is greater than highest high for last 5 bars (last 5 week high), then doLong 'BUY' [S1.BUY]
If current week Bar Close is lower than Lowest low for last 5 bars (last 5 week low), then doSell 'SELL' [S1.SELL]
Strategy 2[S2]---(Lower timeframe 'Day' for Entry/Exit timing)
If current (Daliy) bar close is greater than highest high of last 5 bars (last 5 days high), then 'Go-Long' (Only if the last signal of strategy-1 is S1.BUY) OR Cover short postion (if the last Signal of Strategy-1 is S1.SELL)
If current (Daliy) bar close is lower than lowest low of last 5 bars (last 5 days low), then 'Sell' (Only if the last signal of strategy-1 is S1.BUY) OR Sell-short (if the last Signal of Strategy-1 is S1.SELL)
Individualy it is quite simple to plot individual strategy by itself. However, how do I go about incorporating backtesting and/or ploting the signals of Strategy-2 (lower timeframe) while considering the higher timeframe's (week) signal as the filter for trades in daily timeframe strategy ?
Do I need to use any EFS code to achieve this OR could it be done declaratively via EFS Formula Wizard ?
If code is the onyl option, how to I fetch the last signal value generated by the higher timeframe strategy and use it in the backtesting/ploting of the lower time frame (day) strategy.
Could someone please provide a framework for coding this in EFS and I'll try to work on it to cater to my need. I just need you to guide me in the right direction with coding this requirement.
Any help is much appreciated.
Many thanks in advance,
Utrader
Comment