[Feature Request] Utilizing multiple time resolutions within a strategy

Feature Request

I was trying to program a strategy to be able to change time resolutions automatically based on volatility indicators. It seems this is not really supported as it can't backtest properly (it wants a single time resolution for the entire backtest (whatever it is set to in the security function).

Instead it looks like I have to go the hard way and manually combine candles and data with my code.

I mean there's always the possibility that I'm doing it wrong. I am still new at this. Any resource I found showed how to manually set a different time resolution with an input or hard coded security function, which works because it's the same throughout the whole backtest period. Having it set to a variable based on an indicator value renders it unable to be backtested.

Posted Apr 25, 2021, 12:17 AM UTC

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