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Configuring anaSuperTrend
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Configuring anaSuperTrend

  #11 (permalink)
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Fat Tails View Post
You do not need to add secondary bars.

You can simply modify the indicator settings for the SuperTrend and use the same bar series for both of them.

For example you could use the settings shown on the chart with the anaSuperTrendDual (upper left corner).

I don't think you see the whole picture of what I'm trying to do. I need the two data series in order to calculate the JMA, ST, etc. on both. This allows me to confirm the longer term trend before placing a trade that's triggered by JMA and/or Stochastics and/or ST and getting stopped out because it was counter to the long-term trend. If there's a better way, please let me know.

BTW, I really like what you and Kris are doing on LizardTrader. Depending on how this project goes, I may join up.

Geoff

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  #12 (permalink)
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gdstuart View Post
I don't think you see the whole picture of what I'm trying to do. I need the two data series in order to calculate the JMA, ST, etc. on both. This allows me to confirm the longer term trend before placing a trade that's triggered by JMA and/or Stochastics and/or ST and getting stopped out because it was counter to the long-term trend. If there's a better way, please let me know.

BTW, I really like what you and Kris are doing on LizardTrader. Depending on how this project goes, I may join up.

Geoff


If you wish to display a higher timeframe trend on your chart, there are always several options to achieve it. I had once explained it in this thread

https://futures.io/ninjatrader-programming/28037-essentials-multiple-time-frames-multi-time-frame-indicators.html


Let us just start with the anaSuperTrendU11. I understand that you wish to use two indicators one calculated from a 5 min chart, and the other one from a 15 min chart. There is a timeframe multiplier of 5 between the two indicators.

What I try to do is to tweak the indicator settings. Let us examine the anaSuperTrend U11 with default settings. The SuperTrend is calculated from a base line, which is a moving average or a moving median. In a second step a multiple of the average true range is deducted or added to the last value of the baseline in order to determine the value for the current stop.

This is simple arithmetics.

Now let us try to simulate a SuperTrend (8/2.5/15) that plots on a 15 min chart by calculating it from 5 minute bars. This shall be attempted with the following replacements:

a) Median(8) on a 15 min chart -> replaced with Median (24) on a 5 min chart (you get the same lookback period for the sample data)
b) EMA(TR, 15) on a 15 min chart -> replaced with EMA(TR, 45) on a 5 min chart (again to obtain the same lookback period)
c) Multiplier = 2.5 on a 15 min chart -> replaced with Multiplier = 4.33 on a 15 min chart

In order to understand the last point: The lookback period for calculating the average volatility is the same, if you take 15 bars on a 15 min chart or 45 bars on a 5 min chart. However, the average true range of the 5-min bars is much smaller. Therefore an additional factor needs to be introduced to transform the 5-min bar volatility into the 15 min bar volatility. Knowing that volatility is proportional to the square root of time (please check formula for historical volatility) we can easily correct the multiplier by applying an additional factor of SQRT(3) = 1.73. Compared to the default value of 2.5, we get a modified value of 1.73 * 2.5 = 4.33.

To summarize

A SuperTrend (8/2.5/15) on a 15 min chart can be approximated with a SuperTrend(24/ 4.33/45) on a 5 min chart!

In order to check the outcome I will apply both indicators to the chart. The chart below has transparent 15 min bars added, which are used for the comparison. The blue/red lines shows the original SuperTrend (8/2.5/15) calculated from 15 min bars. The green/orange plots shows the approximation via the SuperTrend calculated from 5 min bars. You will notice the approximation is not perfect, but it is good enough for producing a higher timeframe trend filter.

The trend reversal signals are one bar off, and in this example the lower timeframe tweaked SuperTrend even does a better job, as it comes one bar early.

There is no need to build a higher timeframe trendfilter from higher timeframe bars, if you can achieve a similar result with a simple modifications of the indicator parameters. This is the concept that I had also used for the dual SuperTrend.


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  #13 (permalink)
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Multi-Timeframe Stochastics


For the Stochastics indicator, the easier way to go was to modify the indicator itself

-> in a first step calculate composite bars from the chart bars (you can combine 3 5-min bars into 1 15-min bar)
-> in a second step perform the Stochastics calculation on the composite bars

This approach has the advantage that NinjaTrader does not need to calculate secondary bars, but that the timeframe transformation is directly done by the indicator. The approch perfectly works on minute, tick and volume bars. For range and Renko bars it can be used with limitations only, as you cannot build a 4-range bar from 2-range bars.

Below is a comparison of Stochastics calculated from 5-min and from 15-min bars. As you will notice they are entirely identical, if you connect every third 5 min bar. However, this requires painting back 2 bars for drawing the interpolation line.

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If you wish to have an indicator that does not draw the interpolation line (for use with automated strategies), there is a different setting, which produces a slightly different result and which is obtained without redrawing the connection to the last 15 min node.

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  #14 (permalink)
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Hey @Fat Tails

Thanks for your great work and constant contributions to this forum. You have the innate ability to make me feel very stupid when reading through your posts, so thank you I have much to learn!

Wondering if you can help me select between the anasupertrend m11 /u11 or the chandelier stop for a particular part of my intraday strategy.

I am an intraday market/volume profile trader similar to Ft71 looking to scalp entries and have pre defined targets based on market structure, volume context and statistics. Usually my targets are between 4-16 ticks in FESX. My stops are between 4-6 ticks, the lower proportion for trend continuation entries and the higher proportion for reversals.

I'm trading out in Australia and sometimes a reversal comes in later in the European session, close to the time my wife reads me a bed time story and tucks me in bed

I'm looking for one of your products for a trailing stop only purpose. I have a predefined target in mind, just it takes so long to sometimes get to the target. I'd like the stop to be ATR based, but I'm a little bit new to ATR based stops so I'd appreciate your input into selecting a period/multiplier that would be flexible enough to profit well enough on the mini reversals that often sets up a small time trend in the other direction.

I trade off Jigsaw's DOM and stalk trades on a 1 tick renko. I'm assuming that even if the trade entry is made on the DOM the trade can be automatically managed on the 5 min chart by the indicator I decide to go for. Am I right assuming this?

Again thanks for your hard work and appreciate any help you can offer.

Z


Last edited by Zefi; October 20th, 2016 at 09:56 PM.
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  #15 (permalink)
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Zefi View Post
Hey @Fat Tails

Thanks for your great work and constant contributions to this forum. You have the innate ability to make me feel very stupid when reading through your posts, so thank you I have much to learn!

Wondering if you can help me select between the anasupertrend m11 /u11 or the chandelier stop for a particular part of my intraday strategy.

I am an intraday market/volume profile trader similar to Ft71 looking to scalp entries and have pre defined targets based on market structure, volume context and statistics. Usually my targets are between 4-16 ticks in FESX. My stops are between 4-6 ticks, the lower proportion for trend continuation entries and the higher proportion for reversals.

I'm trading out in Australia and sometimes a reversal comes in later in the European session, close to the time my wife reads me a bed time story and tucks me in bed

I'm looking for one of your products for a trailing stop only purpose. I have a predefined target in mind, just it takes so long to sometimes get to the target. I'd like the stop to be ATR based, but I'm a little bit new to ATR based stops so I'd appreciate your input into selecting a period/multiplier that would be flexible enough to profit well enough on the mini reversals that often sets up a small time trend in the other direction.

I trade off Jigsaw's DOM and stalk trades on a 1 tick renko. I'm assuming that even if the trade entry is made on the DOM the trade can be automatically managed on the 5 min chart by the indicator I decide to go for. Am I right assuming this?

Again thanks for your hard work and appreciate any help you can offer.

Z

I would recommend the SuperTrendU11 over the two other indicators. With default settings the SuperTrendU11 should be identical to the SuperTrendM11, but allows for selecting different moving averages, while the SuperTrendM11 is based on the median alone.

The Chandelier Stop is calculated by deducting a multiple of the average true range from the highest high since you opened the position. The SuperTrendU11 deducts a multiple of the average true range from the selected moving average. If you set the moving average period to 1, this comes pretty close to the Chandelier Stop (you need to use a higher value for the multiplier).

Finding the right parameters for the SuperTrendU11 requires testing. I cannot recommend any general settings.

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  #16 (permalink)
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Fat Tails View Post
I would recommend the SuperTrendU11 over the two other indicators. With default settings the SuperTrendU11 should be identical to the SuperTrendM11, but allows for selecting different moving averages, while the SuperTrendM11 is based on the median alone.

The Chandelier Stop is calculated by deducting a multiple of the average true range from the highest high since you opened the position. The SuperTrendU11 deducts a multiple of the average true range from the selected moving average. If you set the moving average period to 1, this comes pretty close to the Chandelier Stop (you need to use a higher value for the multiplier).

Finding the right parameters for the SuperTrendU11 requires testing. I cannot recommend any general settings.

Thanks for your advice.

I'm a total newb when it comes to ATM strategies in NT7 and trailing stops in general as I've always been a click trader.
Just trying to work out some basic ATM stop strategies in NT7 and successfully interfacing them with Jigsaw DOM, for some reason having an ATM strategy on the chart for an auto stop trail strategy isn't functioning when entering an order at market on the Jigsaw DOM. It only works in NT7 chart trader. I'm thinking this is a software fault with Jigsaw...Anyway that's not your business!

Bit embarrassed to ask for help getting setup , do I need to create an NT7 ATM for the supertrendu11 indicator to function and create my trail stop after I place limit/market orders on the Jigsaw DOM to enter the market? Any help getting would be appreciated.

I'm assuming the ATM software problem with Jigsaw could be a stumbling block, so I'm currently checking with the developer.

Cheers

Z

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  #17 (permalink)
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The ATM function is up and running again for me in the latest Jigsaw DOM version.


I'm still at a loss how to attach the indicator to an ATM strategy. Do I need to create a customised ATM that mirrors the anasupertrendu11?

Any guidance would really be appreciated and cordially shut me up

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  #18 (permalink)
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I'm a doofus...

I've finally found out that this isn't coded for a strategy and thus cannot be implemented for an automated ATR trail stop strategy.

Perhaps one day it will... who knows!

I'll kindly post a request to our household futures.io NT coders to see if they can come up with the strategy that I'm after.

Z

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  #19 (permalink)
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Zefi View Post
I'm a doofus...

I've finally found out that this isn't coded for a strategy and thus cannot be implemented for an automated ATR trail stop strategy.

Perhaps one day it will... who knows!

I'll kindly post a request to our household futures.io NT coders to see if they can come up with the strategy that I'm after.

Z


By design there are two different tools in NinjaTrader:

(1) ATM (Automated Trade Management)
(2) Automated Strategies (which can be built with the Strategy Builder or coded via NinjaScript)

The Automated Trade Management only is a simple tool that does not allow integration of any indicators. This has nothing to do with the SuperTrend.

However, the SuperTrend can be used with automated strategies. All DataSeries are exposed and can be easily accessed.

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  #20 (permalink)
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Thanks, I've come to understand this now.

Just hoping someone could kindly code one as per my request in the programming section or alternatively I'm on the look out for similar automated stop strategy sold by a vendor.

I'm surprised there aren't more available in the indicator/strategy section of the forum.


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