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edtechre / pybroker

Algorithmic Trading in Python with Machine Learning
https://www.pybroker.com
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how to realize multi time frame backtest? #13

Closed shiniantianlang closed 1 year ago

shiniantianlang commented 1 year ago

Can pybroker realize the multi time frame backtest? For example, for 5 minutes data transaction, the signal uses 10 minutes of data.

edtechre commented 1 year ago

Hi @shiniantianlang,

Yes, but you need to perform this manually. For instance, you can create an indicator for 5-minute bars and manually compute the indicator values using 10 minutes of data, which would involve using 2 five-minute bars.

shiniantianlang commented 1 year ago

Thank you very much for your answer, I will try this method.