NexusFi: Find Your Edge


Home Menu

 





Configuring anaSuperTrend


Discussion in NinjaTrader

Updated
      Top Posters
    1. looks_one Fat Tails with 16 posts (36 thanks)
    2. looks_two Zefi with 6 posts (0 thanks)
    3. looks_3 gdstuart with 5 posts (1 thanks)
    4. looks_4 sagetrade with 4 posts (0 thanks)
    1. trending_up 14,164 views
    2. thumb_up 37 thanks given
    3. group 17 followers
    1. forum 39 posts
    2. attach_file 14 attachments




 
Search this Thread

Configuring anaSuperTrend

  #1 (permalink)
 gdstuart 
Hammonton NJ
 
Experience: Beginner
Platform: NinjaTrader
Broker: NT Continuum
Trading: Indexes (Indices?)
Posts: 101 since Nov 2014
Thanks Given: 164
Thanks Received: 71

Occasionally the SuperTrend stop (trend?) indicator is completely contradicted by the price action that follows. Here's a particularly nasty example on TF today. Is there any configuring I can do in the parameters to increase the reliability of this?

Thanks, I'm pretty new to NT and nexusfi.com (formerly BMT) so I hope this is posted correctly.

Geoff


Started this thread Reply With Quote

Can you help answer these questions
from other members on NexusFi?
NexusFi Journal Challenge - April 2024
Feedback and Announcements
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
New Micros: Ultra 10-Year & Ultra T-Bond -- Live Now
Treasury Notes and Bonds
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
61 thanks
Funded Trader platforms
39 thanks
NexusFi site changelog and issues/problem reporting
26 thanks
GFIs1 1 DAX trade per day journal
18 thanks
The Program
18 thanks
  #3 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102


Indicators are not nasty. You can use them in different ways.

The SuperTrend is a trailing stop based on volatility. The SuperTrend has not been designed for entry timing, as it will only give delayed signals. However, it can also be used as a higher timeframe trendfilter. Whether it is suited for following price action or not depends on several conditions.

(1) The SuperTrend works in a trending environment. Therefore it is important to know the probability that the market will be trending when it is used.

(2) Depending on the settings it is important to have an understanding of the

- intraday/daily distribution of volatility
- intraday/daily distribution of returns

The main characteristics of those distributions can be shown, when applying a z-score indicator to the ranges and bar-to-bar returns.

3-sigma events for volatility on daily chart: 3/184 = 1.63%
2-sigma events for returns on daily chart: 16/184 = 8.70%
3-sigma events for volatility on 5-min chart: 5/184 = 2.72%
2-sigma events for returns on 5-min chart: 16/184 = 8.70%

Looking at the charts, there are two possible educated guesses:

-> the distribution of returns on a daily chart is assymetric (there are more 2-sigma events to the downside)
-> the distribution of volatility on an intraday chart has a higher number of 3-sigma events compared to a daily chart

Both educated guesses can be more or less confirmed, when performing similar tests with other instruments. However, currencies seem to behave in a different way, as the intraday distribution of 2-sigma events for returns was less frequent.








We can now draw a number of conclusions:

-> currencies are probably trending better than other instruments and more suited for any approach relying on the SuperTrend
-> intraday volatility for most of the futures contracts shows a higher number of outliers than expected, which make strategies basd on the SuperTrend more vulnerable
-> it is important to have an idea whether the current day will be a trending day (following news release) or not


I would further suggest to add a second higher timeframe SuperTrend. Thus any positions against the higher timeframe trend would not be allowed.

Attached is a sample chart. As you can see the losing trades have been mostly eliminated.



Reply With Quote
  #4 (permalink)
 gdstuart 
Hammonton NJ
 
Experience: Beginner
Platform: NinjaTrader
Broker: NT Continuum
Trading: Indexes (Indices?)
Posts: 101 since Nov 2014
Thanks Given: 164
Thanks Received: 71

@Fat Tails, would you be so kind as to post the code for anaSuperTrendU11Dual? I have been working with two timeframes as you suggest and have recently "jumped into the pool" coding Ninjascript instead of relying on the Strategy Wizard. Examples like this dual-timeframe indicator would be very helpful in my learning process.

Thank you!

Started this thread Reply With Quote
Thanked by:
  #5 (permalink)
 gdstuart 
Hammonton NJ
 
Experience: Beginner
Platform: NinjaTrader
Broker: NT Continuum
Trading: Indexes (Indices?)
Posts: 101 since Nov 2014
Thanks Given: 164
Thanks Received: 71


Fat Tails View Post
I would further suggest to add a second higher timeframe SuperTrend. Thus any positions against the higher timeframe trend would not be allowed.

Attached is a sample chart. As you can see the losing trades have been mostly eliminated.



I've been unable to find the indicator anaSuperTrendU11Dual. Does anyone have this code available to post?

Started this thread Reply With Quote
  #6 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102


gdstuart View Post
I've been unable to find the indicator anaSuperTrendU11Dual. Does anyone have this code available to post?


I haven't posted it yet. Still working on it. Currently trying to translate indicators to NinjaTrader 8.

Reply With Quote
Thanked by:
  #7 (permalink)
 eone 
Toronto, ON
 
Experience: Beginner
Platform: NinjaTrader
Posts: 108 since Sep 2009
Thanks Given: 32
Thanks Received: 28


Fat Tails View Post
I haven't posted it yet. Still working on it. Currently trying to translate indicators to NinjaTrader 8.

Thank you gdstuart for asking this question and FatTail for your detailed information (as always). Please could you provide a some more information on the higher frame filter? Are you referring to adding this filter on the same chart or another higher timeframe chart?

Also, please could you code the indicator for NT7 as well?

Much thanks.

EO

Reply With Quote
  #8 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102


eone View Post
Thank you gdstuart for asking this question and FatTail for your detailed information (as always). Please could you provide a some more information on the higher frame filter? Are you referring to adding this filter on the same chart or another higher timeframe chart?

Also, please could you code the indicator for NT7 as well?

Much thanks.

EO

The anaSuperTrendDual is just built from two anaSuperTrends. You can also add two SuperTrends one by one and get the same result. Depending on the selected settings, one of the SuperTrends is the higher time frame filter and the other one is the smaller time frame filter. The composite trend is determined as follows

- both SuperTrends up -> composite trend up
- both SuperTrends down -> composite trend down
- SuperTrends opposed -> composite trend neutral

The only thing that the anaSuperTrendDual adds is the shading for the uptrend, downtrend and neutral areas.

Reply With Quote
Thanked by:
  #9 (permalink)
 gdstuart 
Hammonton NJ
 
Experience: Beginner
Platform: NinjaTrader
Broker: NT Continuum
Trading: Indexes (Indices?)
Posts: 101 since Nov 2014
Thanks Given: 164
Thanks Received: 71


Fat Tails View Post
I haven't posted it yet. Still working on it. Currently trying to translate indicators to NinjaTrader 8.

I'll be looking forward to it. Currently I add the longer timeframe to the plot but hide it, and then add two instances of anaSuperTrendU11. It does the job and I'm now trying to incorporate it into a strategy. Interesting possibilities for automation across many timeframe combinations.




Started this thread Reply With Quote
  #10 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102


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).

Reply With Quote




Last Updated on March 2, 2018


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts