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@bullsandthebears: You are absolutely right. I love that book, because it explains a lot. Worth reading. I think the 1978 edition is the last one.
And you made an important point. The chartist would only make the calculation after the day had closed. Thus the calculation would be performed once and only for complete periods.
With a modern charting program often the indicator value is plotted prior to the completion of the bar, and this can produce bizarre results.
Imagine a 3-period ATR. If you look at this indicator after the first of the new bar and include that bar for the calculation of the indicator value, then the true range of the last bar is zero, and the average true range will drop by 33% from the previous bar. This will happen again with every new bar, so the indicator will temporarily plot like below its value, until the bar reaches completion.
There are many indicators that cannot be used when the last unstable bar is included prior to its completion.
Can you help answer these questions from other members on NexusFi?
how i love brackets [[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[]]]]]]]]]]]]]]]]]]]]]]]]]]]]]]]]
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.
When a backtest or live run of SuperTrend M11 or U11 I notice a entry is made Long or Short a bit before the actual arrow plots on the chart. How can I make the arrow plot at the same time the entry is made?
@birdoggg: Your question is about an interesting little detail. Actually to answer the question I have to make a distinction between two cases.
(1) SuperTrend reverses after the bar close
This is the default setting of the indicator. The SuperTrend waits for a bar close beyond the stop line. Once the bar closes the position may be reversed with the first tick (open) of the next bar. In this case the signal bar belongs to the old trend and the entry bar is the next bar after the signal bar.
This is the also the classical way the SuperTrend is used. So far the color logic and arrows were adapted to this case. The case is shown in the chart below.
Although I will not change the visual appearance in this case, I have made a minor change to the indicator. The arrows will now be plotted 1 bar ahead at the close of the signal bar.
(2) SuperTrend reverses intra-bar when the stop line is taken out
This is the way the indicator behaves, when Reverse Intrabar is set to "true". This is a more exotic application of the SuperTrend. Even in this case I want the stop line to stay in place, because otherwise it is impossible to see where it has been broken. I think that the stop line should be left in place for the signal bar.
However, if the trend change is triggered intra-bar, the entry bar and the signal bar are identical - with the exception of the rare case that the trend change is signalled with the last tick of the bar. Therefore I agree with you that both the paint bars and the arrow should be shifted one bar forward.
I have now made the modifications to the indicator SuperTrendM11 and posted it in the downloads. The result is shown in the chart below.
However, I have not changed the main plots and the BoolSeries that detects the trend and which can be accessed via an automated strategy. There will be no unwanted side effects, if you update the indicator and have used it for an automated strategy before. The updated indicator can be found here. Feedback welcome. I will also update the SuperTrendU11 once it has been confirmed that the recent change works as expected.
Exported using NT Version 7.0.1000.11
Please download the new Supertrend U11 (Universal), which allows to calculate the stop line from median, mode and 27 other moving averages.
This is a new implementation of the TradeStation SuperTrend indicator …
Hey Fat Tails...cool...ok...would it be too much trouble to go ahead and update SuperTrendU11 as well? I have it on a strategy already I created and will be able to quickly get back to you on comments afterward with that one. I don't have a functional strategy done for the M11 one...just wondering...excellent answer and feedback to my question...thank you!!!
Hi Fat Tails...by the way (in addition to my last post)...I am having a error when I save the workspace that ...U11 has a serialization error. How can I fix?
Here comes an update for both the SuperTrendM11 and SuperTrendU11.
The logic for the BoolSeries which can be accessed by the strategy has not been changed, the update will therefore not lead to a bad surprise.
Reverse intra-bar = false: This is the default setting for the SuperTrend. With this setting the SuperTrend only changes the direction of the trend, when the stopline is taken out by a close beyond that line. This is what I have changed:
-> with setting COBC = true, the arrow will now be plotted for the entry bar when the signal bar has closed
Reverse intra-bar = true: In this case the SuperTrend changes direction as soon as price has broken the stop line intra-bar. The changes are:
-> when paint bars are activated, the signal and entry bar will now carry the color of the new trned
-> the arrow will now be plotted for the bar that breaks the trend, as the reversal is detected intra-bar
In all cases I have maintained the decision to show the stopline that is broken. This is different from the TSSuperTrend, where the new stop is already displayed for the signal bar.
Exported using NT Version 7.0.1000.11
Please download the new Supertrend U11 (Universal), which allows to calculate the stop line from median, mode and 27 other moving averages.
This is a new implementation of the TradeStation SuperTrend indicator …
Exported using NT Version 7.0.1000.11
This is a new implementation of the TradeStation SuperTrend indicator for NinjaTrader 7. The SuperTrend indicator is an application of the concept of MAE (maximum adverse excursion), which was introduced by John …
Hey Fat Tails...could you give some best practices when updating your indicators. I went to update and received a lot of errors and had to re-install NT (probably my fault and not your indicators though)...smile...
The initial installation went perfectly...it was when I went to install the updated version were there was issues...
