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Multitimeframe trading algos

Hello everyone
I'm trying to write an algorithm based on the comparison between moving averages of different timeframes (from 5m to weekly).
I'm only interested in the close of the bars, so I don't have to build the complete bars.
However, I find it difficult to build dataframes with different timeframe's close within a single algorithm.
Searching in the forum I have not found any similar posts, can anyone show me a similar algorithm to start from?