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AnaSupertrend minor modification possible?


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AnaSupertrend minor modification possible?

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  #1 (permalink)
toronto
 
Experience: Intermediate
Platform: metatrader
Trading: forex
 
Posts: 22 since Oct 2013
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Hi guys, I was wondering if someone could make a minor tweak to FatTails anasupertrend indicator.

Is it possible to add "percent offset" to the offset types?

Right now the only offset types offered are;

1) Standard Deviation
2) True Range
3) Simple Range

I would like the ability to offset the supertrend using a "Percent offset" like the one found in the built NT indicator "MA envelopes"

See the picture below


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  #3 (permalink)
Market Wizard
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Feasible, but it would change the characteristics of the indicator. Currently, the distance of the stop value depends on volatility. It goes further away when volatility is high and approaches price, when volatility is low.

With a percentage selection, the stop will be trailed at a fixed distance - well mostly fixed - of the moving average.

The modification requires a few changes, mostly in OnStartUp(). Also a new property has to be added for the percentage value.

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  #4 (permalink)
the coin hunter
virginia
 
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Sufyan View Post
...

Is it possible to add "percent offset" to the offset types?

...

you may want to try TMFTtrailingstoppercent

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  #5 (permalink)
toronto
 
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cory View Post
you may want to try TMFTtrailingstoppercent

Thanks cory, but that indicator does not allow me to define the length of the moving average (nor the type of the moving average). Its simply a trailing stop (im assuming using 1 period)


Fat Tails View Post
Feasible, but it would change the characteristics of the indicator. Currently, the distance of the stop value depends on volatility. It goes further away when volatility is high and approaches price, when volatility is low.

With a percentage selection, the stop will be trailed at a fixed distance - well mostly fixed - of the moving average.

The modification requires a few changes, mostly in OnStartUp(). Also a new property has to be added for the percentage value.

Hi Fattails, yes that is what I'm interested in. I've never had much luck using ATR, I prefer a fixed amount. So far i've been using my MA-envelopes settings, and then adjusting the anaSupertrend using std deviation and attempting to line it up to the MA envelope settings, but because it is volatility based, the two bands slip apart over time.

I like the ana-supertrend for its versatility with paintbars and multitude of moving averages, But I would really love the ability to use a fixed percentage stop rather than basing it on volatility.

Any help would be appreciated greatly.

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  #6 (permalink)
Market Wizard
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Sufyan View Post
Thanks cory, but that indicator does not allow me to define the length of the moving average (nor the type of the moving average). Its simply a trailing stop (im assuming using 1 period)



Hi Fattails, yes that is what I'm interested in. I've never had much luck using ATR, I prefer a fixed amount. So far i've been using my MA-envelopes settings, and then adjusting the anaSupertrend using std deviation and attempting to line it up to the MA envelope settings, but because it is volatility based, the two bands slip apart over time.

I like the ana-supertrend for its versatility with paintbars and multitude of moving averages, But I would really love the ability to use a fixed percentage stop rather than basing it on volatility.

Any help would be appreciated greatly.


You would also get a fixed percentage stop, if you use a long period for the offset period. For example, if you select an offset period of 255, this is basically a fixed stop.

I would even say that the solution with a slow offset is much better that a percentage offset. Unlike the percentage offset

- it adjusts to the beta of the instrument (volatility is not based on the absolute prices)
- the same setting can be used with all instruments and timeframes

In my opinion you do not gain anything, when the percentage offset is added.

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  #7 (permalink)
toronto
 
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Posts: 22 since Oct 2013
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Fat Tails View Post
You would also get a fixed percentage stop, if you use a long period for the offset period. For example, if you select an offset period of 255, this is basically a fixed stop.

I would even say that the solution with a slow offset is much better that a percentage offset. Unlike the percentage offset

- it adjusts to the beta of the instrument (volatility is not based on the absolute prices)
- the same setting can be used with all instruments and timeframes

In my opinion you do not gain anything, when the percentage offset is added.

Indeed with a long MA it smooths out. Problem my trading system uses a 34 SMA period (along with some other indicators). That is what I have back-tested, and the few tick differences in the Volatility vs Fixed stop are enough to alter my results. I havent gotten a chance to properly backtest futures since I dont have access to that indicator, but on my forex account I was getting about 53-55% over almost 25,000 trials in backtest data (using 1,000 sample chunks on different pairs on different time frames)

I've been doing some manual testing on futures and its really time consuming lol. So far over 300 sample or so, I'm getting +61% using my normal strategy (using fixed stop) and getting 43% when I use the volatility based stop. Im still new to futures and Ninjatrader so I'm trying to figure out all the biases/problems involved with backtesting on ninjatrader before I backtest properly. But I really need help if someone can assist me in adding a "percent offset" feature to anaSuperTrend

I just dont have any experience using volatility stop, and all my testing and prior studies have been using fixed stops.

Maybe if fattails is busy, someone else can help (btw are we allowed to edit your indicators fattails?)

Thanks again

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  #8 (permalink)
Market Wizard
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Sufyan View Post
Indeed with a long MA it smooths out. Problem my trading system uses a 34 SMA period (along with some other indicators). That is what I have back-tested, and the few tick differences in the Volatility vs Fixed stop are enough to alter my results. I havent gotten a chance to properly backtest futures since I dont have access to that indicator, but on my forex account I was getting about 53-55% over almost 25,000 trials in backtest data (using 1,000 sample chunks on different pairs on different time frames)

I've been doing some manual testing on futures and its really time consuming lol. So far over 300 sample or so, I'm getting +61% using my normal strategy (using fixed stop) and getting 43% when I use the volatility based stop. Im still new to futures and Ninjatrader so I'm trying to figure out all the biases/problems involved with backtesting on ninjatrader before I backtest properly. But I really need help if someone can assist me in adding a "percent offset" feature to anaSuperTrend

I just dont have any experience using volatility stop, and all my testing and prior studies have been using fixed stops.

Maybe if fattails is busy, someone else can help (btw are we allowed to edit your indicators fattails?)

Thanks again

Any one is allowed to edit the indicators. They come open source. If you modify them, please do not use the prefix "ana" but change it to something else to avoid confusion.

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  #9 (permalink)
toronto
 
Experience: Intermediate
Platform: metatrader
Trading: forex
 
Posts: 22 since Oct 2013
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Okay will do

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