Multi-day bar option
Author: karla2010
Creation Date: 7/25/2012 7:52 PM
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karla2010

#1
maybe I am alone in this, but one of the most useful tools for my strategy is to build indicators that cross time frames. For higher frequency trading there are 390 minutes in a day to work with, so cross timeframe filters can be built for whole integer bars that divide a day for 1,2,3,5,6,10,13,15,26,30,39,65,78,130,195 minute bars. Good filter strategies can be built from these selections in the shorter timeframes.

Once the daily bar is hit, sampling becomes very poor. For all practical purposes, selections are 1 day, 1 week, 1 month. The longest dataset I have is monthly data dating back to 1901 which only has 1338 bars.

It would give me much better sampled filters for longer timeframe strategies, if I combine timeframes with bar data like 1,2,3,5,8,13.... days.

Right now, if one works in the daily timeframe, a 3-point filter can be built from day, week, month, not very good.

Any ideas how to get at multi-day bar data, or does it require something new?

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Eugene

#2
Luckily, this option already exists.

Install: EOD Scaling Provider

How-to: Wiki page

Discuss: EOD Scaling Provider: 2-day, 3-day, ...., n-day Bar charts
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karla2010

#3
thanks, just what I needed.
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bgood

#4
I need a little help. I am trying to compare multi-day technicals to single-day tecnicals. I see the EOD Scaling Provider, and I see the Watchlist dataset, but the watchlist will not allow a symbol to occur more than 1 time in it. How can I compare a multi-day technical indicator to a single-day technical indicator on the same graph?
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Eugene

#5
How do you compare a single-day technical indicator to a single-day technical indicator on the same graph? What stops you from doing the same with the n-day symbol?

CODE:
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P.S. Any provider will not allow duplicate symbol names in a DataSet, so it's not connected to your question. And frankly, I'm having a hard time understanding what does the WatchList provider have to do with all of this.
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bgood

#6
Hi Eugene,

I had read that you cannot GetExternalSymbol from a different DataSet, and that you could work around this problem by using the Watchlist. It is helpful that GetExternalSymbol supports having the DataSet specified. I have my test code working, but it would be very helpful if the Bars object would directly support SetScaleDaily(N). This would look much more like the minute scaling or SetScaleWeekly() in it's behavior. However, I have what I need for now.