🔥 Multi-timeframe PineTS strategy

[tripolskypetr]

The graph below replicates a two-timeframe strategy: a 4h Pine Script acts as a trend filter, a 15m Pine Script generates the entry signal. outputNode combines them and returns null when the trend disagrees.

./index.mjs

import { extract, run, toSignalDto, File } from '@backtest-kit/pinets';
import { addStrategySchema, Cache } from 'backtest-kit';
import { randomString } from 'functools-kit';
import { sourceNode, outputNode, resolve } from '@backtest-kit/graph';

// SourceNode — 4h trend filter, cached per candle interval
const higherTimeframe = sourceNode(
    Cache.fn(
        async (symbol) => {
            const plots = await run(File.fromPath('timeframe_4h.pine'), {
                symbol,
                timeframe: '4h',
                limit: 100,
            });
            return extract(plots, {
                allowLong:  'AllowLong',
                allowShort: 'AllowShort',
                noTrades:   'NoTrades',
            });
        },
        { interval: '4h', key: ([symbol]) => symbol },
    ),
);

// SourceNode — 15m entry signal, cached per candle interval
const lowerTimeframe = sourceNode(
    Cache.fn(
        async (symbol) => {
            const plots = await run(File.fromPath('timeframe_15m.pine'), {
                symbol,
                timeframe: '15m',
                limit: 100,
            });
            return extract(plots, {
                position:            'Signal',
                priceOpen:           'Close',
                priceTakeProfit:     'TakeProfit',
                priceStopLoss:       'StopLoss',
                minuteEstimatedTime: 'EstimatedTime',
            });
        },
        { interval: '15m', key: ([symbol]) => symbol },
    ),
);

// OutputNode — applies MTF filter, returns ISignalDto or null
const mtfSignal = outputNode(
    async ([higher, lower]) => {
        if (higher.noTrades) return null;
        if (lower.position === 0) return null;
        if (higher.allowShort && lower.position === 1) return null;
        if (higher.allowLong && lower.position === -1) return null;

        return toSignalDto(randomString(), lower, null);
    },
    higherTimeframe,
    lowerTimeframe,
);

addStrategySchema({
    strategyName: 'mtf_graph_strategy',
    interval: '5m',
    getSignal: (symbol) => resolve(mtfSignal),
    actions: ['partial_profit_action', 'breakeven_action'],
});

./config/source/timeframe_4h.pine

//@version=5
indicator("Daily Trend Filter", overlay=true)

plotcandle(open, high, low, close, 
     color=close > open ? color.new(color.green, 70) : color.new(color.red, 70),
     wickcolor=color.new(color.gray, 70),
     bordercolor=color.new(color.gray, 70))

// === INPUTS ===
rsi_len = input.int(14, "RSI Length", minval=2)
macd_fast = input.int(12, "MACD Fast", minval=1)
macd_slow = input.int(26, "MACD Slow", minval=1)
macd_signal = input.int(9, "MACD Signal", minval=1)
adx_len = input.int(14, "ADX Length", minval=1)
adx_threshold = input.int(25, "ADX Threshold", minval=10)

rsi_bull_threshold = input.int(50, "RSI Bull Threshold", minval=50, maxval=70)
rsi_bear_threshold = input.int(50, "RSI Bear Threshold", minval=30, maxval=50)

// === INDICATORS ===
rsi = ta.rsi(close, rsi_len)
[macd_line, signal_line, macd_hist] = ta.macd(close, macd_fast, macd_slow, macd_signal)
[di_plus, di_minus, adx] = ta.dmi(adx_len, adx_len)

// === TREND FILTER LOGIC ===
strong_trend = adx > adx_threshold

bull_regime = strong_trend and macd_hist > 0 and di_plus > di_minus and rsi > rsi_bull_threshold

bear_regime = strong_trend and macd_hist < 0 and di_minus > di_plus and rsi < rsi_bear_threshold

both_allowed = strong_trend and not bull_regime and not bear_regime
no_trades = not strong_trend

// === VISUALIZATION ===
line_color = bull_regime ? color.green : 
             bear_regime ? color.red : 
             both_allowed ? color.gray :
             color.orange

plot(close, "Active Signal", color=line_color, linewidth=6)

// === OUTPUTS FOR BOT ===
plot(bull_regime ? 1 : 0, "AllowLong", display=display.data_window)
plot(bear_regime ? 1 : 0, "AllowShort", display=display.data_window)
plot(both_allowed ? 1 : 0, "AllowBoth", display=display.data_window)
plot(no_trades ? 1 : 0, "NoTrades", display=display.data_window)
plot(rsi, "RSI", display=display.data_window)
plot(adx, "ADX", display=display.data_window)

// === DEBUG: INDICATOR DUMP ===
plot(macd_line, "d_MACDLine", display=display.data_window)
plot(signal_line, "d_SignalLine", display=display.data_window)
plot(macd_hist, "d_MACDHist", display=display.data_window)
plot(di_plus, "d_DIPlus", display=display.data_window)
plot(di_minus, "d_DIMinus", display=display.data_window)
plot(strong_trend ? 1 : 0, "d_StrongTrend", display=display.data_window)

./config/source/timeframe_15m.pine

//@version=5
indicator("Signal Strategy 15m v1", overlay=true)

plotcandle(open, high, low, close, 
     color=close > open ? color.new(color.green, 70) : color.new(color.red, 70),
     wickcolor=color.new(color.gray, 70),
     bordercolor=color.new(color.gray, 70))


// === INPUTS ===
rsi_len = input.int(7, "RSI Length", minval=2)
ema_fast_len = input.int(5, "EMA Fast", minval=1)
ema_slow_len = input.int(13, "EMA Slow", minval=1)
ema_trend_len = input.int(50, "EMA Trend", minval=1)
atr_len = input.int(14, "ATR Length", minval=1)
vol_ma_len = input.int(20, "Volume MA Length", minval=1)

sl_mult = input.float(1.5, "SL ATR Multiplier", minval=0.5, step=0.1)
tp_mult = input.float(2.5, "TP ATR Multiplier", minval=0.5, step=0.1)
signal_valid_bars = input.int(5, "Signal Valid Bars", minval=1)

// === INDICATORS ===
rsi = ta.rsi(close, rsi_len)
ema_fast = ta.ema(close, ema_fast_len)
ema_slow = ta.ema(close, ema_slow_len)
ema_trend = ta.ema(close, ema_trend_len)
atr = ta.atr(atr_len)

// Volume filter - выше среднего
vol_ma = ta.sma(volume, vol_ma_len)
vol_spike = volume > vol_ma * 1.5

// Momentum confirmation
mom = ta.mom(close, 3)
mom_up = mom > 0
mom_down = mom < 0

// === TREND FILTER ===
trend_up = close > ema_trend and ema_fast > ema_trend
trend_down = close < ema_trend and ema_fast < ema_trend

// === ENTRY CONDITIONS ===
// Long: пересечение + RSI не перекуплен + тренд вверх + объём + momentum
long_cond = ta.crossover(ema_fast, ema_slow) and rsi > 40 and rsi < 65 and trend_up and vol_spike and mom_up

// Short: пересечение + RSI не перепродан + тренд вниз + объём + momentum  
short_cond = ta.crossunder(ema_fast, ema_slow) and rsi < 60 and rsi > 35 and trend_down and vol_spike and mom_down

// === SIGNAL MANAGEMENT ===
var int bars_since_signal = 0
var int last_signal = 0
var float entry_price = na
var float signal_atr = na

if long_cond
    last_signal := 1
    bars_since_signal := 0
    entry_price := close
    signal_atr := atr
else if short_cond
    last_signal := -1
    bars_since_signal := 0
    entry_price := close
    signal_atr := atr
else
    bars_since_signal += 1

// Signal expires faster on 15m
active_signal = bars_since_signal <= signal_valid_bars ? last_signal : 0

// === DYNAMIC SL/TP based on ATR ===
// sl = last_signal == 1 ? entry_price - signal_atr * sl_mult : last_signal == -1 ? entry_price + signal_atr * sl_mult : na
// tp = last_signal == 1 ? entry_price + signal_atr * tp_mult : last_signal == -1 ? entry_price - signal_atr * tp_mult : na

// === STATIC SL/TP for watch strategy ==
sl = last_signal == -1 ? close * 1.02 : close * 0.98
tp = last_signal == -1 ? close * 0.97 : close * 1.03

// === VISUALIZATION ===
line_color = active_signal == 1 ? color.green : active_signal == -1 ? color.red : color.gray

plot(ema_fast, "EMA Fast", color=color.new(color.blue, 50), linewidth=1)
plot(ema_slow, "EMA Slow", color=color.new(color.orange, 50), linewidth=1)
plot(ema_trend, "EMA Trend", color=color.new(color.white, 70), linewidth=2)

plotshape(long_cond, "Long", shape.triangleup, location.belowbar, color.green, size=size.small)
plotshape(short_cond, "Short", shape.triangledown, location.abovebar, color.red, size=size.small)

plot(close, "Active Signal", color=line_color, linewidth=6)

// === OUTPUTS FOR BOT ===
plot(close, "Close", display=display.data_window)
plot(active_signal, "Signal", display=display.data_window)
plot(sl, "StopLoss", display=display.data_window)
plot(tp, "TakeProfit", display=display.data_window)
plot(1440, "EstimatedTime", display=display.data_window)  // 24 hour for 15m TF

// === DEBUG: INDICATOR DUMP ===
plot(rsi, "d_RSI", display=display.data_window)
plot(ema_fast, "d_EmaFast", display=display.data_window)
plot(ema_slow, "d_EmaSlow", display=display.data_window)
plot(ema_trend, "d_EmaTrend", display=display.data_window)
plot(atr, "d_ATR", display=display.data_window)
plot(volume, "d_Volume", display=display.data_window)
plot(vol_ma, "d_VolMA", display=display.data_window)
plot(vol_spike ? 1 : 0, "d_VolSpike", display=display.data_window)
plot(mom, "d_Mom", display=display.data_window)
plot(mom_up ? 1 : 0, "d_MomUp", display=display.data_window)
plot(mom_down ? 1 : 0, "d_MomDown", display=display.data_window)
plot(trend_up ? 1 : 0, "d_TrendUp", display=display.data_window)
plot(trend_down ? 1 : 0, "d_TrendDown", display=display.data_window)
plot(long_cond ? 1 : 0, "d_LongCond", display=display.data_window)
plot(short_cond ? 1 : 0, "d_ShortCond", display=display.data_window)
plot(bars_since_signal, "d_BarsSinceSignal", display=display.data_window)

The graph resolves both Pine Script nodes in parallel via Promise.all, then passes their typed results to compute. Replacing either timeframe script or adding a third filter node requires no changes to the strategy wiring.