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Adustable Timeframe Algo

Does anyone have an example of an algo that uses a different timeframe, for example 15 minute or 30 minute bars instead of 1 minute bars?

I've seen some proof of concept code snippets in the threads but not a working algorithm. I've also tried using the resample method but am running into issues with that because handle_data is still being called on every minute.

thanks!

2 responses

Hi Chris,

Take a look at the code for the backtest I posted here, I think it might help you out. Let me know if this is what you were looking for.

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Hi Chris,

I use the below template to create a adjustable timeframe. Since I haven't figure out how to use the resample function for intraday data, I maintained my own variable in context.container. Please have a look at the sample algorithm attached:

  1. It maintains the most current bar in context.container. I am sure there are better solutions than mine.
  2. It calls the process function every 30 minutes.
  3. Meanwhile it will can intra_interval_process every minute.

Please read the log output for more info.

Clone Algorithm
6
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 560071ba3c5fb00e10ce46b7
There was a runtime error.