I have an issue regarding using TimeFrameSet( inDaily ) while using Monthly as the original timeframe in the Backtester Settings dialog box. It's a fairly basic problem (I think) and I have searched the forums for something on this but it seems everything I find is related to using intraday and daily timeframes.
I execute the following steps:
- Run Exploration using the following code to generate daily ATRs normalised by the Close - ATR(50) / MA(C, 50) - for a handful of ETFs:
and run it in a workspace which uses Daily timeframe per Backtester Settings dialog box as per following screenshot:
Daily results obtained per following screenshot:
- Run the exact same code as an Exploration in a workspace which uses Monthly timeframe per Backtester Settings dialog box as per following screenshot:
Results obtained per following screenshot:
Since I am using the exact same code for both Explorations, the only difference being the 'Daily' or 'Monthly' setting in the Backtester dialog box and the ATR calculation is surrounded by "TimeFrameSet( inDaily );" and "TimeFrameRestore();" I would have expected the output of both Explorations to be the same.
I'm sure it's a simple fix but if anyone knows what I'm doing wrong any help would be much appreciated!