How to load historical data for Supertrend and Trend Signal

[Daveatt]

Hi Apprentice and team

I'm trying to develop a strategy based on Trend signal + Supertrend. It works well but I'd like to to pre-fetch X amount of bars before doing all the calculations etc
As it's a scalping strategy based on signals convergence of Trend Signal + Supertrend, the strategy will wait by default to collect futur bars respecting the conditions for Trend signal + Supertrend
But when I launch the strategy, I'd like to look back at X previous candles and calculate the existing trend. And if there is a trend, the strategy will have to take the trade

I browsed extensively this forum and found out that I have to use the ExtSubscribe1 function as per this thread (viewtopic.php?f=18&t=63076&p=104482&hilit=extsubscribe1#p104482)
It's very clear how to use it for a MVA, but do you think it's compatible with a Supertrend and Trend Signal ?

Code: Select all


local BARS_HISTORY = 500;
TF = "m1";

-- in prepare function
function Prepare(name_only)
        Source = ExtSubscribe(1, nil, TF, instance.parameters.Type == "Bid", "bar");
    T1_SUPERTREND = core.indicators:create("ST", Source, T1_SUPERTREND_Period + BARS_HISTORY, T1_SUPERTREND_Multiplier, core.rgb(0, 255, 0), core.rgb(255, 0, 0));
end

-- in ExtUpdate function
function ExtUpdate(id, source, period)
  if (T1_SUPERTREND.DATA:hasData(period - BARS_HISTORY)) then
      core.host:trace("T1 ST period : " .. period " " .. T1_SUPERTREND[T1_SUPERTREND:size()  - BARS_HISTORY]);
  end
end


For me T1_SUPERTREND.DATA:hasData(period - BARS_HISTORY) never contains any data.

Thanks a lot in advance for your insight
Daveatt

[Apprentice]

Can you provide web reference for ST indicator?
We have a few version on the forum.

[Daveatt]

Thanks for coming back to me so promptly
I've been using the ST.lua (single stream) from this link : viewtopic.php?f=17&t=605

[Apprentice]

Your request is added to the development list under Id Number 4370

[Apprentice]

local BARS_HISTORY = 500;

Code: Select all

T1_SUPERTREND = core.indicators:create("ST", Source, T1_SUPERTREND_Period , T1_SUPERTREND_Multiplier, core.rgb(0, 255, 0), core.rgb(255, 0, 0));


and

Code: Select all


function ExtUpdate(id, source, period)

if period  (Source:size()-1-period) < BARS_HISTORY then
return;
end

 
if (T1_SUPERTREND.DATA:hasData(period )) then
      core.host:trace("T1 ST period : " .. period " " .. T1_SUPERTREND[T1_SUPERTREND:size() - 1]);
end
end


[Apprentice]

If your goal to have BARS_HISTORY bars loaded.

Try to replace
ExtSubscribe(id, instrument, tf, is_bid, "bar");
with
ExtSubscribe1(id, instrument, tf, BARS_HISTORY, is_bid, "bar");
will do what you need.

[Daveatt]

Thanks Apprentice

When I try your code (including the ExtSubscribe1), I have the following issue

"attempt to call method 'size' (a nil value)"
Seems it doesn't like T1_SUPERTREND:size()

This piece "period (Source:size()-1-period)" doesn't work either for me.

I attached a sample Supertrend strategy where I tried to make your advices working.

Could you please have a quick look and let me know how I can fetch the previous (BARS_HISTORY) previous periods and display in the log the previous SUPERTREND values ?

Thanks a mil

[Daveatt]

Uploading a version that is compiling at least
Just struggling now to iterate and fetch the historical values for the ST

[Daveatt]

Found out a solution

Code: Select all

-- browse all the previous BARS_HISTORY candles
        for i = 0, BARS_HISTORY, 1 do
         if Indicator.DATA:hasData(Indicator.DATA:size() - BARS_HISTORY + i) then
            core.host:trace("previous value i : " .. i .. " " .. Indicator.DATA[Indicator.DATA:size() - BARS_HISTORY + i]);
         end
        end


You helped me figuring it out.
Thanks a lot
Daveatt