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I have finally posted the Supertrend U11 (Universal), which has a number of options added to the original SuperTrend M11. Similar to the SuperTrend M11, it calculates both the baseline and the offset from the previous period to increase CPU efficiency and avoid feedback loops.
However there are some enhancements:
(1) The baseline - which was the median - can now be selected from 28 different indicators, including some new ones as the moving mode.
(2) The offset can be selected as a moving average (moving median, moving mode) of the true range or the simple range, or you can simply select the standard deviation.
The new option do not slow down the indicator. The old SuperTrend M11 can be reproduced with the new SuperTrend U11 by applying it to the Input Series "Median", by selecting "Median" as the baseline, "True Range" as the offset type and "EMA" for offset smoothing. However, you need to convert the period used by Wilder's average, which is part of the ATR to the EMA period. Wilder's average uses the smoothing constant k = 1/n, while the EMA uses a smoothing constant of k = 2/(n+1). So if your setting for the ATR period of the SuperTrend M11 was 5, this produced a smoothing constant of k=0.2. To recreate that same smoothing, you would need to select an offset period of 9 for the SuperTrend U11, as k= 2/(9+1) = 0.2
Mike, this is exactly what I was thinking when decided to start the Programming Library thread.
Every working code ever invented nicely catalogued in the Library and this means time saving and progress.
