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Cracking Multi-Timeframe Analysis with VectorBT Pro
Okay, let’s talk multi-timeframe (MTF) analysis — a trading trick that sounds like brain surgery but, trust me, it’s not. I remember my first stab at MTF, I was drowning in charts — hourly, 4-hour, daily — thinking, “This is supposed to help me?” Ha! I messed up big time, my backtests were glowing — too glowing — cuz I’d accidentally baked in look-ahead bias. My results were as trustworthy as a fortune cookie.
If you’ve been there, no sweat, I got you. Today, we’re gonna walk through doing MTF analysis the right way using VectorBT Pro (VBT) — a Python library that’s saved my bacon more times than I can count. We’ll break it into simple steps, toss in some code, and you’ll be building MTF strategies without tripping over your own feet.
Disclaimer: I am not affiliated with VectorBT Pro, and this is not a promotional article. I’m simply sharing my personal experiences with VectorBT Pro. If you’re considering purchasing a VectorBT Pro subscription, please do so at your own risk. I am not endorsing or recommending VectorBT Pro.
Why MTF Analysis Trips Us Up
Here’s the deal, most backtesting tools assume trades happen right when a price bar opens — like, bam, clockwork. Sounds legit, right? Except, trades don’t follow a script in real life, they happen somewhere between open and close, and pretending otherwise sneaks future data into your past decisions. That’s look-ahead bias, the silent backtest killer, making your strategy look like a goldmine — until you go live and, oof, lose your shirt.
VectorBT Pro flips that on its head. It assumes trades could happen anywhere in that bar — best-case, worst-case — testing the whole range. Your backtests get real, even if they don’t always pat you on the back with inflated returns, ya know?
Step 1: Setting Up (The Fun Part!)
First off, you’ll need VectorBT Pro installed — hop to their site, follow the install guide, and come back. Done? Sweet. Let’s fire up Python and get dirty.
