How does Multi-time frame function work? You have written there can be look ahead bias and all, but could not understand anything. Can you please help understand this?? @Streak
Hey @Mangal_Ho ,
Let’s consider an example of live deployment to understand how the Multi-timeframe function will act:
Say you want to enter a trade based on the following condition: “RSI higher than 50” in 5 min time frame. And you keep the base time frame as 1 min and the conditions are created inside the 5 min multi-time frame function as follows- “Multi time frame (5min, RSI(14,0) crosses above 50 )”
Now if we consider the scenario of the 9:15 5- minute candle during live trading. As you have used the base time frame of 1 minute your entry conditions will be checked after each 1-minute candle close. Suppose, if the 5 min RSI value goes above 50 at 9:16 itself (before the first 5 min candle close) then your entry will be triggered after the 9:16 1 min candle close. But if slowly the market goes down and by the end of the 5-minute candle say the RSI value has closed below 50. So on the chart, after 9:20 AM you would see that RSI is lower than 50. However, your entry has happened based on the earlier reading when RSI was above 50 on a partial candle, and ultimately since the market has gone negative the signal will be unverifiable in the chart later.
In the above scenario, the backtest will not consider this entry as in the data available for the backtest the RSI is lower than 50 at the 5-minute candle close. Thus accounting for lookahead bias in backtesting. Hence we have also added the disclaimer highlighting the same on the Create page. You can click on the below link to learn more about this:
https://help.streak.tech/create_advanced/#multi-timeframe-functions
Hope this clarifies.
1 Like