Multiple Data Timeframes in One Trading System

Recently, the topic of using both intraday and daily data together in one system came up on the Trading Blox Forum.   This can be useful for taking primary signals on a daily timeframe and using intraday data to more accurately estimate fills.  It can also be important when testing strategies with tight stops or close profit targets, where daily bars might encompass more than one trading level, but not tell us which came first.  Most trading software tries to make an educated guess about the order in which prices happened during a bar based on the relationship of the high and low to the open and close.  Trading Blox also offers this option via the Entry Day Retracement global parameter setting.  However, sometimes you want to drill down to a lower timeframe and see what actually happened.

Trading Blox allows you to do this in a couple of different ways:

  1. You can actually run two different data files for each market; say a daily bar file and a 1 minute bar file.  The daily file can act as the timing mechanism and order price generator, while the execution may be performed on the 1 minute bar series, and the strategy may choose to reject the trade or take it based on 1 minute bar action, once the daily signal is in place.
  2. You can run only an intraday data file, and let Trading Blox provide you with daily properties that it builds internally from the intraday data.  This has the advantage of automatically synching the intraday and daily prices and trading hours.  Make sure and enable Trading Blox to build the daily (or weekly or monthly) bars from intraday data by checking the appropriate boxes such as “process daily bars” in the Data Folders and Options preferences editor as shown below.

An example system using intraday and daily data to reproduce the same set of trades and results is available for users to download in the Blox Marketplace of the Trading Blox user Forum.

Process Daily Bars pref