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anaSuperTrend vs. anaSuperTrendM11
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anaSuperTrend vs. anaSuperTrendM11

  #31 (permalink)
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Big Mike View Post
Download section for that.

Also your thread is non-Elite which eliminates most everything from being shared.

I agree on code snippets, but disagree on entire code blocks.

Mike

anything will be a good start

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  #32 (permalink)
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Small update Supertrend U11

Have added the ADXVMA has an option for the baseline or to smooth the offset.

https://futures.io/download/ninjatrader-7/indicators/1207-download.html

The anaADXVMA needs to be updated as well (select to overwrite it when installing).


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  #33 (permalink)
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Minor bug in SuperTrendU11 removed


Have found a minor bug in the SuperTrendU11 today:

The Butterworth, Gauss and Supersmoother filters did not use the correct baseline period. This did not affect the SuperTrend calculations, when median, mode or other moving averages were used.

Bug removed. Please download again.

https://futures.io/download/ninjatrader-7/indicators/1207-download.html?view

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Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
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  #35 (permalink)
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Aloha @Fat Tails,

If I am using anaSupertrendU11 on the 5 minute as my trend filter would you recommend the default parameters of Baseline period=3 Offset Multiplier=2.5 and Offset period=15? How about the other options, Baseline smoothing, Offset smoothing etc... which options would you use?

Thanks!

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dakine View Post
Aloha @Fat Tails,

If I am using anaSupertrendU11 on the 5 minute as my trend filter would you recommend the default parameters of Baseline period=3 Offset Multiplier=2.5 and Offset period=15? How about the other options, Baseline smoothing, Offset smoothing etc... which options would you use?

Thanks!

You can use the Supertrend for a strategy and backtest it, you would then find the best parameters.

I would not use a multiplier below 2.5, because you may have too many whipsaws otherwise. The offset period should not be too large, because otherwise the indicator loses its adaptive behaviour. The offset period of 15 in combination with EMA smoothing and the true range will show the same result as an average true range with a period of 8. This is probably the maximum to be used. The baseline period can definitely be increased.

But again there are no limitations, you can try thousands of different combinations and test them.

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Update SuperTrendM11 and SuperTrendU11

I have done another update today for several reasons. Let me start with the most important one. The indicator was not simple enough. So I have simplified it and better adapted to use with automated strategies.


Reverse Intra-bar Setting (unchanged)

Bot the SuperTrendM11 and the SuperTrendU11 have two settings for the reversal:

(1) Reverse intra-bar = true: The trend changes when the stop line is temporarily broken, that is when the low of the bar is below the stop line (long position) or the high of the bar is above the stop line (short position).
(2) Reverse intra-bar = false: The trend changes after a close beyond the stop line.

Both settings will work with COBC=true and COBC = false.

Application to a strategy: Assuming that an automated strategy runs in COBC = true, the setting (1) should be used for a managed approach (hard stop that is triggered intra-bar) and the setting (2) can be used for an unmanaged approach (stop triggered by the strategy).


Trend state of the SuperTrend

In the prior versions it was possible that the trend state of the SuperTrend changed intra-bar. Also the indicator already displayed the new trend for the bar that broke the stopline. This was not a good solution, as the position could only be entered with the open of the second bar of the new trend. Also you would not see on the chart how the stopline was broken. I have therefore changed the logic of the indicator. The bar that breaks the stopline belongs to the old trend, the next bar is the first bar of the new trend. With the changed logic, I have also eliminated the repaint feature, which painted back the trend to the prior bar for COBC = false.

The trendstate can be direcrtly accessed as SuperTrendU11( ....).Uptrend, which is recommended for a use as trend filter of an automated strategy.


Other changes

The SuperTrendU11 had an option to use a moving mode. This option is not useful, as the mode sometimes hits the price. The idea of the stop line is that price triggers an exit when it hits the stop, the idea was not that the stop hits price. The mode is simply not suited as a base for the trailing stop, so off it goes. The Ehllers and Gaussian filters have been updated to allow for using a period of 1.

The updated indicators can be found here:

https://futures.io/download/ninjatrader-7/indicators/1207-download.html?view
https://futures.io/download/ninjatrader-7/indicators/841-download.html?view




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  #38 (permalink)
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Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
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2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
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  #39 (permalink)
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Another Update for SuperTrend M11 and U11

I have made another update for the two indicators today. The reasons are explained here:


https://futures.io/elite-circle/8168-volatility-based-trading-9.html#post268528


This update only affects the Public BoolSeries UpTrend, which can be accessed by automated strategies and is not required for discretionary traders.

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"Welles Wilder's "New Concepts in Technical Trading Systems"


"Most of the indicators were not designed for day trading, but were originally applied to a printed chart, once the market had closed. So the chartist would perform the calculation of the formula once and write down the result. The best book that I have seen to show how this was done is Welles Wilder's "New Concepts in Technical Trading Systems"."

I have Welles Wilder's "New Concepts in Technical Trading Systems in PDF that i posted, its from 1978, is this the year you mention? is there a newer version, yet the term didnt make hem like they used to may be the case.

THANK YOU FOR ALL YOUR INSIGHT !

Not a vendor, just a trader. I do not sell anything. Current studies involve EasyLanguage, Money Management and Technical Analysis. Do Enjoy: Fibs, S / R's , Eliotts, Cycles, Trends , Skews. Not Enjoy: fundamentals, Main St Media . It's all about keeping your emotions out of trading and work a system. Appreciate all insight as will be returned. Scotty B.
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Last edited by bullsandthebears; January 26th, 2013 at 08:12 PM. Reason: attatched doc
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