Superalgos - Time Frame

Time Frame

The time frame determines the collection of candles to be analyzed during a backtesting session, and the frequency with which the trading bot runs on paper trading, forward testing, and live trading sessions.

Content

In Live Sessions

In the context of live sessions, that is, paper trading, forward testing, and live trading, you may want to run the session on the 01-min time frame so that the trading bot reacts fast when the price tags the take profit or stop loss targets.

Important: Remember that Superalgos does not place stop or take profit orders at the time of entering the position. Instead, the trading bot checks the current price upon each execution and determines whether or targets have been hit or not. If targets are hit, the opens and orders are placed on the next cycle, which happens to be on the next candle.

If for whatever reason you don't need to minimize the potential for slippage when hitting stop or take profit targets, you may choose whatever time frame you like, taking into account the explanations below.

In Backtesting Sessions

In the context of backtesting sessions, what time frame you decide to run the session depends on the trading system being tested. If the trading system makes decisions based on the 1-hour candle and above, then 01-hs may be the best choice. However, if decisions are influenced by sub-hour candles then you should match the time frame accordingly.

In other words, in backtesting sessions, you should match the time frame to the smallest period on which the trading system makes decisions.

Important: The above, however, is only partially correct. Setting the time frame to match the decision-making criteria of the is desirable to save time in backtests. You save time because the smallest reasonable collection of candles is evaluated. However, the time-saving may come at the cost of precision!

Remember what was said about stop loss and take profit orders earlier: they do not exist in Superalgos. When a target is hit, orders are placed in the following , which happens to be on the next candle!

Let's take a minute to reflect on the implications of the above! If targets are hit on one candle and orders are placed on the next candle, there is the potential for huge if the session is run on higher time frames! This is the cost in precision mentioned earlier.

The above explanation seems to point in the following direction: if you want backtesting simulations to be comparable to live sessions run on the 01-min time frame, then you should run the backtesting session on the 01-min time frame as well. There is, however, a workaround.

Workaround

You may use the structure of nodes to arbitrarily define the exit rate of the position.

For example, you may use the following formula in the node as well as in the of the :

 targetRate()

function targetRate() {
    switch (tradingEngine.tradingCurrent.position.exitType.value) {
        case 'No Exit': {
            return tradingEngine.tradingCurrent.tradingEpisode.candle.close.value
            break
        }
        case 'Take Profit': {
            return tradingEngine.tradingCurrent.position.takeProfit.finalValue.value
            break
        }
        case 'Stop Loss': {
            return tradingEngine.tradingCurrent.position.stopLoss.finalValue.value
            break
        }
    }
}

The formula sets the to be the last known takeProfit rate if the exit was triggered by hitting of the , or the last known stopLoss in case it was the target.

Why the Time Frame Matters

Running trading sessions of any given trading system on different time frames may produce different results. This is because the behavior of a trading session may vary depending on how well the time frame matches the logic of the strategy.

The trading bot evaluates closed candles only. At any given point in time, the current candle in each time frame is the candle that closed last.

For example, let's say it's 11 hours, 39 minutes and 30 seconds of June 11th, 2020. This is how the system determines which is the current candle:

1-minute candle: it is the one that closed at 11:38:59.999.

5-minute candle: it is the one that closed at 11:34:59.999.

30-minute candle: it is the one that closed at 11:29:59.999.

1-hour candle: it is the one that closed at 10:59:59.999.

2-hour candle: it is the one that closed at 09:59:59.999.

6-hour candle: it is the one that closed at 05:59:59.999.

24-hour candle: it is the one that closed at 23:59:59.999 of June 10th!

Let's say the trading system implements conditions that evaluate 30-minute and 1-hour candles.

If a session is run at the 30-minutes time frame, all 30-minutes candles are evaluated. Also, all 1-hour candles are evaluated twice.

However, if the session is run at the 1-hour time frame, only one out of two 30-minute candles are evaluated.

And if the session is run at the 2-hour time frame, only one out of four 30-minute candles and one out of two 1-hour candles are evaluated.

This means that running the session (for this particular trading system) at the 30-minute time frame has higher probabilities of conditions evaluating 30-minute candles to be true during the session.

Bu, seansı (bu belirli ticaret sistemi için) 30 dakikalık zaman diliminde çalıştırmanın, seans sırasında 30 dakikalık mumları değerlendiren koşulların doğru (true) olma olasılığının daha yüksek olduğu anlamına gelir.

In other words, when running the session on time frames higher than the time frame on which decisions are made, chances are the bot will eventually skip candles on which conditions would have evaluated true, potentially skipping trading opportunities.

The above is true for all types of trading sessions.

Configuring

Time Frame Configuration

Properties

value is the setting for the time frame. You may use any of the values below.

 01-min
02-min
03-min
04-min
05-min
10-min
15-min
20-min
30-min
45-min

Available options at larger time frames are:

 01-hs
02-hs
03-hs
04-hs
06-hs
08-hs
12-hs
24-hs

Initial Values

These are the Initial Values for Time Frame configuration:

 {
    "label": "01-hs"
}

Examples

This is a list of properties featured by the Time Frame configuration. Expanding a property shows sample values for the property extracted from the current .

Time Frame Menu

The Time Frame node has the following items:

The Configure menu item has the following properties:

action: Configure

label: Configure

iconPathOn: configuration

iconPathOff: configuration

actionFunction: uiObject.configEditor.activate

The Delete menu item has the following properties:

action: Delete UI Object

actionProject: Visual-Scripting

askConfirmation: true

confirmationLabel: Confirm to Delete

label: Delete

iconPathOn: delete-entity

iconPathOff: delete-entity

actionFunction: payload.executeAction

Tip: When a menu item is grayed out, it means that Time Frame already has the required child type that the menu item may add, and only that child is allowed for that case.

Time Frame Attaching Rules

The following are the that govern the attachment of Time Frame with other nodes:

Compatible Types:

Superalgos is an open-source project run and governed by a decentralized community of contributors. There is no legal entity behind the project. Our body of work lives on the Internet.