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Logic that creates the SuperTrend Indicator
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Logic that creates the SuperTrend Indicator

  #1 (permalink)
Moose Jaw Saskatchewan Canada
 
 
Posts: 6 since Oct 2018
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Logic that creates the SuperTrend Indicator

Does anyone have a logic description of the supertrend indicator? I'd like to try my hand at writing my own copy of it for CQG (or.. if someone knows where this has been done I'm not above using someone else's indicator )

I've not been able to find a description of what the logic is behind the indicator?

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  #2 (permalink)
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  #3 (permalink)
Legendary Market Wizard
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Hi ,
take a look here. https://www.tradesignalonline.com/lexicon/view.aspx?id=Supertrend

In the upper area are two links to the source code.
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  #4 (permalink)
New Delhi
 
 
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Here you go mate.

BASIC UPPERBAND = (HIGH + LOW) / 2 + Multiplier * ATR
BASIC LOWERBAND = (HIGH + LOW) / 2 - Multiplier * ATR

FINAL UPPERBAND = IF( (Current BASICUPPERBAND < Previous FINAL UPPERBAND) and (Previous Close > Previous FINAL UPPERBAND)) THEN (Current BASIC UPPERBAND) ELSE Previous FINALUPPERBAND)

FINAL LOWERBAND = IF( (Current BASIC LOWERBAND > Previous FINAL LOWERBAND) and (Previous Close < Previous FINAL LOWERBAND)) THEN (Current BASIC LOWERBAND) ELSE Previous FINAL LOWERBAND)

SUPERTREND = IF(Current Close <= Current FINAL UPPERBAND ) THEN Current FINAL UPPERBAND ELSE Current FINAL LOWERBAND

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  #5 (permalink)
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Super Volume


Jerryflyguy View Post
Does anyone have a logic description of the supertrend indicator? I'd like to try my hand at writing my own copy of it for CQG (or.. if someone knows where this has been done I'm not above using someone else's indicator )

I've not been able to find a description of what the logic is behind the indicator?

A super trend indicator in my mind is a myth, you can use moving averages to a degree and many other indications that you can see by eye, but nothing anyone creates can beat volume, because volume is where its at. Volume moves the marlkets without question, so any indicator is only reflecting what is happening in volume anyway, so why not go to the source of the reasons why indicators show what they show?

Any indicator shows indications because something has made it show and it lags behind what is causing the indications. My advice - Study Volume, Study VSA principles, Study Volatility which is representative of the fast or slow pace of buying and selling exchange. It's a zero sum game, but volatility shows the desire on the bid and ask in the DOM!

Peronally I have dumped all indicators other than true volume, volatility and price action, price action is also showing what volume is telling you. the open, the high, the low and the close are all reference points, so that is why I don't use candles also, I like clear price bars showing gaps too.

Super Volume, Super Volatility - and lack of Volatility and compare the two indications and look back in history to see what is likely in the future!

Volume and Volatility is my Dynamite!


Last edited by Dynamitetrader; August 20th, 2019 at 11:23 PM. Reason: grammar adjustment
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  #6 (permalink)
Moose Jaw Saskatchewan Canada
 
 
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DynamiteTrader your post is VERY intriguing to me. I've been searching for a volume/volatility indicator that works for me as I to believe that this is a needed component of a trading system. However, that said... I've not found any that really that fit the bill!

I'm curious as to what you've found that works and how you use it?

Thanks!

J

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  #7 (permalink)
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Super Volume


Jerryflyguy View Post
DynamiteTrader your post is VERY intriguing to me. I've been searching for a volume/volatility indicator that works for me as I to believe that this is a needed component of a trading system. However, that said... I've not found any that really that fit the bill!

I'm curious as to what you've found that works and how you use it?

Thanks!

J

It's all so simple really, first set your chart to colour volume and price bars the same, red for lower close than previous close and green for higher close than previous close! Overlay HVOL on your volume chart. I never trade tops or bottoms of day trends or higher, but wait for impetus - volume to confirm a desire to move in a direction, up or down, volatility should increase with any volume increase with market moves up or down, any decrease generally does not confirm the move and actually belies makret manipultion potential.

Volume increase and lack of volume shows where the interest in market direction lies. Block buying and block selling in larger numbers than usual will help you see where the institutions are trading. This is my Dynamite!

Good luck, let me know which markets you trade! I trade futures only!


Last edited by Dynamitetrader; August 21st, 2019 at 03:01 AM. Reason: grammar correction
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  #8 (permalink)
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Some clarification from my perspective


Jerryflyguy View Post
DynamiteTrader your post is VERY intriguing to me. I've been searching for a volume/volatility indicator that works for me as I to believe that this is a needed component of a trading system. However, that said... I've not found any that really that fit the bill!

I'm curious as to what you've found that works and how you use it?

Thanks!

J

Following this thread, I would suggest that volume can be measured and broken down into reconciled amounts of buying and selling volume components by various methods, but then you have to convert those buying and selling volume "amount" measurements into "force" of supply & demand measurements. You can have strong forces at work on low total volume bars and weak forces at work on large total volume bars. What you need is the right indicators to point you in the right direction.

The same right indicators will demonstrate that volatility is a price effect and not a cause of price movements. My thoughts are that volatility is a distraction for a lot of people trying to measurie the wrong thing.

In summary , you need to get down to measuring the forces of supply & demand not the amount of buying volume and selling volume in order to perceive the cause behind price movements.

My analogy is that it is not the size of the armies that went into battle (total Volume) but how fierce the soldiers fought( which is a force measurement irrespective of the total volume).

Regards

cmacdon

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  #9 (permalink)
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Super Volume


cmacdon View Post
Following this thread, I would suggest that volume can be measured and broken down into reconciled amounts of buying and selling volume components by various methods, but then you have to convert those buying and selling volume "amount" measurements into "force" of supply & demand measurements. You can have strong forces at work on low total volume bars and weak forces at work on large total volume bars. What you need is the right indicators to point you in the right direction.

The same right indicators will demonstrate that volatility is a price effect and not a cause of price movements. My thoughts are that volatility is a distraction for a lot of people trying to measurie the wrong thing.

In summary , you need to get down to measuring the forces of supply & demand not the amount of buying volume and selling volume in order to perceive the cause behind price movements.

My analogy is that it is not the size of the armies that went into battle (total Volume) but how fierce the soldiers fought( which is a force measurement irrespective of the total volume).

Regards

cmacdon

Indeed the volume does not show you the balance between buying and selling, supply or no supply, demand or no demand, but that buying and selling has taken place and thus the quantity of trade exchanges. The volatility shows the rapidity, not of price effect, but the willingness of the traders to get involved in the exchange of contracts, it's the emergency with which the desire to exchange is portrayed creating volatility based on what the crowd of traders percieve and thus create volatility or not! A lack of volatility then, is quite the opposite and shows receding interest, just as receding volume and is therefore very often an indication of an undesired directional movement!

I would add to your analogy with, it's not just how fierce the soldiers fought, but the quality of their weapons! 95% or greater get this wrong, so size is not the issue here!


Last edited by Dynamitetrader; August 21st, 2019 at 04:02 AM. Reason: more typos - becoming more frequent lately
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  #10 (permalink)
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Volatility Based Trailing Stops


There are several volatility based trailing stops that you may use. All of them use the ATR such that there will be a wide stop when volatility is high, but a narrower stop when the market calms down.

Here are some example for a long stop. The short stop would be defined the opposite way.


ATR Trailing Stop: A multiple of the ATR is deducted from the current close.

Chandelier Stop A: A multiple of the ATR is deducted from a Donchian high

Chandelier Stop B: A multiple of the ATR is deducted from the highest high since in position

SuperTrend: A multiple of the ATR is deducted from a moving average


Coding these indicator is fairly simple. The starting point would be the current close, the highest high over a selected lookback period of a moving average. In a second step you simply deduct a multliple of the ATR over a selected lookback period.

Below are screenshots attached showing the different trailing stops.



ATR Trailing Stop:

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Chandelier Stop A:

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Chandelier Stop B:

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SuperTrend (Median):

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