Just a quick post here. I was asked how to keep track of the opening price for each time frame from our original Multi-Time Frame indicator and I was answering the question when I thought about modifying the indicator. This version keeps track of each discrete time frame. The original simply looked back a multiple of the base chart to gather the highest highs and lowest lows and then would do a simple calculation to determine the trend. So let’s say its 1430 on a five-minute bar and you are looking back at time frame 2. All I did was get the highest high and lowest low two bars back and stored that information as the high and low of time frame 2. Time frame 3 simply looked back three bars to gather that information. However if you tried to compare these values to a 10-minute or 15-minute chart they would not match.
In this version, I use the modulus function to determine the demarcation of each time frame. If I hit the border of the time frame I reset the open, high, low and carry that value over until I hit the next demarcation. All the while collecting the highest highs and lowest lows. In this model, I am working my way from left to right instead of right to left. And in doing so each time frame is discrete.
Let me know which version you like best.