Multiple Time Frames with TALIB and Tulip

[Alan]

Got a solution?

Yes it is possible, but you will need to add some gekko core modifications. The problem is, that talib und tulip work async with their indicator calculations. So these calculations will either need proper callbacks or async/await patterns to work with the core without running into candle timing and race conditions.

I made some pull requests to target exactly this issue. You may have a look and pick what you need. You may also play with the Green Gekko fork, which has implemented this feature ready to go. In my own strategies I run 5 different candle sizes within one strategy on many different talib indicators for example.

Hi Mark,

I was just experimenting with Green Gekko recently and I noticed that when using the async features you have implemented, the batch size has to always be 1 to get accurate backtesting results.. I added a bunch of debug messages to see what's going on, and I guess as expected, when batch size is more than 1, you get a big batch of candles first, then a big batch of indicators results, etc.. which results in inaccurate tests..

However, with a batch size of 1, backtesting becomes really really slow, and attempting to use tools like brute force or gekko batcher will take forever to run..

Is there any way to avoid this slow down or a work around you can suggest?