MTF_LEVELS is the multi-timeframe levels tool from the LuxAlgo
"Highs & Lows MTF" feature, adapted for the backtest engine. Instead of
request.security, it resamples the strategy's bar series so it works on
a single timeframe.
For each requested higher timeframe it holds the prior completed period's high and low constant across the current period (the same shift-by-one convention as Daily Bias and Pivot Points). Prior-day, prior-week, and prior-month highs/lows are classic liquidity targets and support/resistance.
Emitted columns
Per timeframe X in d / w / m:
mtf_<x>_prev_high- prior period highmtf_<x>_prev_low- prior period low
Typical use
Use the prior-day high as a target for a long, or fade price into the prior-week high as resistance. Combine with market-structure breaks for confluence: a BOS that clears the prior-day high is a stronger signal than one mid-range.