SuperTrend Indicator

[Nikolay.Gekht]

note: new version of the indicator is available here: viewtopic.php?f=17&t=2527

This is the implementation of Olivier Seban's Supertrend indicator.

Code: Select all

-- Indicator profile initialization routine
-- Defines indicator profile properties and indicator parameters
function Init()
    indicator:name("SuperTrend Indicator");
    indicator:description("The indicator displays the buying and selling with the colors. The indicator is initially developed by Jason Robinson for MT4");
    indicator:requiredSource(core.Bar);
    indicator:type(core.Indicator);

    indicator.parameters:addInteger("N", "Number of periods", "No description", 10);
    indicator.parameters:addDouble("M", "Multiplier", "No description", 1.5);
    indicator.parameters:addColor("UP_color", "Color of UP", "Color of UP", core.rgb(0, 255, 0));
    indicator.parameters:addColor("DN_color", "Color of DN", "Color of DN", core.rgb(255, 0, 0));
end

-- Indicator instance initialization routine
-- Processes indicator parameters and creates output streams
-- Parameters block
local N;
local M;

local first;
local source = nil;
local ATR = nil;

-- Streams block
local TrUP = nil;
local TrDN = nil;
local UP = nil;
local DN = nil;
local TR = nil;

-- Routine
function Prepare()
    N = instance.parameters.N;
    M = instance.parameters.M;
    source = instance.source;
    ATR = core.indicators:create("ATR", source, N);
    first = ATR.DATA:first();
    local name = profile:id() .. "(" .. source:name() .. ", " .. N .. ", " .. M .. ")";
    instance:name(name);
    UP = instance:addInternalStream(first, 0);
    DN = instance:addInternalStream(first, 0);
    TR = instance:addInternalStream(first, 0);
    TrUP = instance:addStream("UP", core.Line, name .. ".UP", "UP", instance.parameters.UP_color, first);
    TrDN = instance:addStream("DN", core.Line, name .. ".DN", "DN", instance.parameters.DN_color, first);
end

-- Indicator calculation routine
function Update(period, mode)
    ATR:update(mode);
    TR[period] = 1;
    if period >= first then
        local median, atr, change;
        atr = ATR.DATA[period];
        median = (source.high[period] + source.low[period]) / 2;
        UP[period] = median + atr * M;
        DN[period] = median - atr * M;

        if period >= first + 1 then
            change = false;
            if source.close[period] > UP[period - 1] then
                TR[period] = 1;
                if TR[period - 1] == -1 then
                    change = true;
                end
            elseif source.close[period] < DN[period - 1] then
                TR[period] = -1;
                if TR[period - 1] == 1 then
                    change = true;
                end
            else
                TR[period] = TR[period - 1];
            end

            local flag, flagh;

            if TR[period] < 0 and TR[period - 1] > 0 then
               flag = 1;
            else
               flag = 0;
            end

            if TR[period] > 0 and TR[period - 1] < 0 then
               flagh = 1;
            else
               flagh = 0;
            end

            if TR[period] > 0 and DN[period] < DN[period - 1] then
                DN[period] = DN[period - 1];
            end

            if TR[period] < 0 and UP[period] > UP[period - 1] then
                UP[period] = UP[period - 1];
            end

            if flag == 1 then
                UP[period] = median + atr * M;
            end

            if flagh == 1 then
                DN[period] = median - atr * M;
            end

            if TR[period] == 1 then
                TrUP[period] = DN[period];
                if change then
                    TrUP[period - 1] = TrDN[period - 1];
                end
            end

            if TR[period] == -1 then
                TrDN[period] = UP[period];
                if change then
                    TrDN[period - 1] = TrUP[period - 1];
                end
            end
        end
    end
end


SuperTrend.lua

(4.32 KiB) Downloaded 12698 times

Single Stream Version

ST.lua

(4.01 KiB) Downloaded 7345 times

SuperTrend Overlay.lua

(5.72 KiB) Downloaded 3074 times

Indicator-based strategy.
https://fxcodebase.com/code/viewtopic.php?f=31&t=75138

[duzhaoping]

Would you provide a detailed formula?Thanks a lot.

[Apprentice]

Single Stream Version for Use within Signals and Strategys.

SuperTrend.lua

(4.01 KiB) Downloaded 13336 times

[ak_nomiss]

Single Stream Version for Use within Signals and Strategys.

SuperTrend.lua

do you mean this one have signal and strategy inside ? or it just an update indicator

[Apprentice]

However, only this version using some strategies and signals.
The two versions differ, it is the question of compatibility.

[numa-numa]

Hi,

a systematic large-scale analysis of Super-Trend parameter influence and recommendations for the best parameters for all major FOREX pairs is given here:

http://tradingresearch.wordpress.com/2011/08/15/evaluation-of-super-trend-indicator's-parameters-for-all-major-forex-pairs-over-12-years/

(tiny url: http://wp.me/p1M1iZ-6)

The analysis is based on >12 years back testing for each currency pair.

Hope this helps in selecting your best parameters

With Best Regards

[Apprentice]

Indicator was revised and updated.

[Apprentice]

Two Super Trend Line Cross Strategy is available here.
viewtopic.php?f=31&t=64320&p=110640#p110640

[Apprentice]

The Indicator was revised and updated.

[easytrading]

Hello Apprentice,
if you please, could we have price overlay for SuperTrend.lua (the first post) with my appreciation.