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Trying a MTF version of TSSuperTrend
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Trying a MTF version of TSSuperTrend

  #1 (permalink)
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Trying a MTF version of TSSuperTrend

Greetings!

I have been using the TradingStudies SuperTrend v2.3 (TSST) in my strategy development for some time, and would like to have a MultiTimeFrame version available in the strategy so to eliminate the need for BarsInProgress additions within the strategy.

Several other indicators I have been able to complete that task, but with TSST I am having difficulties. The indicator I wrote up (the latest attempt attached) I added in the BIP, and changed the 'Input' to BarsArray[1], and other minor changes but the graphing and values are not true to comparison on a the same data series. The indicator is modified to plot dots on BIP==1 which is Range 5.

I am aware of the Fat Tails SuperTrend: I need this modification as a reference to the strategy previously built to assure same backtesting results and development.

Attached is screen shot of Range 5 with the standard TSST and the MTF modified mtfTSSTr5, and zips the original version I made of the TSST and also the mtfTSSTr5: exported NT7 R1

Any assist is greatly appreciated,
Jon

Writing to you from the wonderful province of Ontario, Canada. Home to the world's biggest natural negative ion generator, the Niagara Falls, and to those that dare to know how to go over it in a barrel. SALUTE!
Attached Thumbnails
Trying a MTF version of TSSuperTrend-tsst-square-vs-mtftsst-dots-.jpg  
Attached Files
Register to download File Type: zip mtfTSST5r.zip (35.0 KB, 160 views)
Register to download File Type: zip TSSTV2.zip (31.8 KB, 134 views)
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  #3 (permalink)
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I think it would be much safer to add the second bar series within the strategy than let the strategy call a multi-time frame indicator.

If you use a multi time frame indicator, you just transfer the problem from the strategy to the indicator, and who knows whether NinjaTrader will correctly call the second bar series within the indicator?

But I would really like to hear some other opinions on this issue.

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Fat Tails,

I understand your concerns. I have been trying to have my NT automated strategy ( the framework (which was designed by a very competent consultant) integrates a total of 3 BIPs) correctly enter and manage trades. Management, so far, has not been a problem. Management of order has been stymied by the use of multiple BIP activity. I am testing this as a resolution.

YES, I have tried several suggestions from the NT support staff and others. What I see, so far, is the same results in backtesting when I have 3 of the 4 indicators 'offloaded' to the BIP modified version of the indicators as there was when the BIP were in effect on the indicators within the strategy.

I hope I made my statement above clearly.
1. It looks that it works the same in backtesting either way.
2. I want to only have BIP==0 in the strategy
3. The indicators I modified for MTF on the same setting give the same result as if not modified.
4. I only have the TSSuperTrend left to modify and it is a challenge for me. Output is not the same.

Thanks!
Jon

Writing to you from the wonderful province of Ontario, Canada. Home to the world's biggest natural negative ion generator, the Niagara Falls, and to those that dare to know how to go over it in a barrel. SALUTE!
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