Running Strategies on two intraday timeframes
Author: boreland
Creation Date: 11/6/2015 9:51 AM
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boreland

#1
Do you have any code examples of running two parallel Wealthlab scripts? I wish to run one on a 5 min bar interval and the other on a 1 min. I found this which speaks to the issue so what:

Using parallel threads to calculate DataSeries

I do not want to use the SetScaleCompressed() to create 5 min bars from 1 min bars. There are several reasons. Firstly, the complexity of my algorithm makes this very tedious work, and secondly, I can not get the same exact simulation results. What I wish to be able to do if run two scripts. Use the higher time frame script to generate trade signals, and the lower 1 min time frame script to execute the on the next bar interval.
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Eugene

#2
You can already run two strategies (not "scripts") in two Strategy windows, isn't it?

The aforementioned approach is based on employing parallel processing to speed up a single strategy execution on multi-core CPUs. The reference you're making to that strategy in this context is confusing. Could you forget the term "parallel" and start by explaining what you're trying to accomplish in other words?
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boreland

#3
I want to run on two time frames within the same strategy. As I said above I do not want to use the SetScaleCompressed() to create 5 min bars from 1 min bars. There are several reasons. Firstly, the complexity of my algorithm makes this very tedious work, and secondly, I can not get the same exact simulation results.

I like to use the higher time frame dataset to generate trade signals, and execute in the lower 1 min time frame on the next bar interval.
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Eugene

#4
If you don't want to use Wealth-Lab's built-in SetScaleCompressed, have you considered developing your own framework? :-P

Hope this technique helps to get the 5-min data directly into your 1-min chart (untested):

Accessing Intraday data from Daily

Getting the exact same results is not necessary; problem is when that makes your strategy's performance profile deviate considerably.
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boreland

#5
Interesting!! I'm not sure this quit the right route. I'm trying to get 1 min interval trade executions into a 5 min chart. Can you think of any way to run two for loops, one using 5 min intervals and the other 1 min interval.

I'm not sure I understand what you are thinking here " have you considered developing your own framework?", are there any code examples?
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Eugene

#6
For executions you have to drop down to the lowest bar scale required which is 1 minute in this case.