Strategy based on PRC Supertrend Extended

• 09/17/2024 at 6:20 AM #237671
  pdrh

  Hi,

  Has anyone coded a strategy based on the PRC Supertrend Extended and if so can you post it

  Cheers

  

  pdrh

  Participant

  Topics: 30

  Replies: 32

  Been thanked: 2 times
  09/17/2024 at 8:55 AM #237682
  Iván

  Hi!
  Here you have an example from Nicolas indicator (https://www.prorealcode.com/prorealtime-indicators/supertrend-extended/)

  // --- settings multiplier=2.236 period=66 type=1 //1 = use ATR , 2 = Use standard deviation , 3 = Use standard error midperiod=10 // --- end of settings type=max(1,type) if type=1 then moy=averagetruerange[period](close) elsif type=2 then moy=std[period](close) elsif type=3 then moy=ste[period](close) endif myprice=(highest[midperiod](high)+lowest[midperiod](low))/2 up=myprice+multiplier*moy dn=myprice-multiplier*moy once trend=1 if close>up[1] then trend=1 elsif close<dn[1] then trend=-1 endif if trend<0 and trend[1]>0 then flag=1 else flag=0 endif if trend>0 and trend[1]<0 then flagh=1 else flagh=0 endif if trend>0 and dn<dn[1] then dn=dn[1] endif if trend<0 and up>up[1] then up=up[1] endif if flag=1 then up=myprice+multiplier*moy endif if flagh=1 then dn=myprice-multiplier*moy endif if trend=1 then mysupertrend=dn offset=moy //color1=0 //color2=191 //color3=255 else mysupertrend=up offset=-moy //color1=255 //color2=69 //color3=0 endif if trend=1 and trend[1]<>1 then //drawarrowup(barindex,mysupertrend) coloured(color1,color2,color3) buy 1 contract at market endif if trend=-1 and trend[1]<>-1 then //drawarrowdown(barindex,mysupertrend) coloured(color1,color2,color3) sellshort 1 contract at market endif

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69

  // --- settings multiplier=2.236 period=66 type=1 //1 = use ATR , 2 = Use standard deviation , 3 = Use standard error midperiod=10 // --- end of settings   type=max(1,type) if type=1 then moy=averagetruerange[period](close) elsif type=2 then moy=std[period](close) elsif type=3 then moy=ste[period](close) endif   myprice=(highest[midperiod](high)+lowest[midperiod](low))/2 up=myprice+multiplier*moy dn=myprice-multiplier*moy once trend=1 if close>up[1] then trend=1 elsif close<dn[1] then trend=-1 endif if trend<0 and trend[1]>0 then flag=1 else flag=0 endif if trend>0 and trend[1]<0 then flagh=1 else flagh=0 endif if trend>0 and dn<dn[1] then dn=dn[1] endif if trend<0 and up>up[1] then up=up[1] endif if flag=1 then up=myprice+multiplier*moy endif if flagh=1 then dn=myprice-multiplier*moy endif if trend=1 then mysupertrend=dn offset=moy //color1=0 //color2=191 //color3=255 else mysupertrend=up offset=-moy //color1=255 //color2=69 //color3=0 endif   if trend=1 and trend[1]<>1 then //drawarrowup(barindex,mysupertrend) coloured(color1,color2,color3) buy 1 contract at market endif if trend=-1 and trend[1]<>-1 then //drawarrowdown(barindex,mysupertrend) coloured(color1,color2,color3) sellshort 1 contract at market endif

  1 user thanked author for this post.

  pdrh

  

  Iván

  Moderator

  Topics: 0

  Replies: 978

  Been thanked: 338 times
  09/17/2024 at 11:37 AM #237700
  pdrh

  I was hoping for something a little more robust

   

  I have tried a strategy using Supertrend Extended on 2 timeframes to determine the trend and Nicolas’s U BOT Alerts to deternmine the entry

  and this seems to be promising.

  I would post the code but I cannot see the link

   

  

  pdrh

  Participant

  Topics: 30

  Replies: 32

  Been thanked: 2 times
  09/17/2024 at 1:19 PM #237710
  GraHal

  You can add the code as an .itf file using ‘select file’ same as adding a screenshot.

  

  GraHal

  Participant

  Topics: 212

  Replies: 8784

  Been thanked: 2184 times
  10/10/2024 at 1:17 PM #238825
  SnorreDK

  How have your strategies been performing out-of-sample (OOS) lately?

  Would you mind sharing the code or the ITF file?

  

  SnorreDK

  Participant

  Topics: 17

  Replies: 112

  Been thanked: 6 times
  10/11/2024 at 6:53 AM #238840
  pdrh

  The last few weeks have not been as good . I have modified the code for which I  posted the the detailed report butIneed to find a way to improve the results when the price is trading sideways on the 30 sec timeframe .

  Any suggestions would be appreciated

  

  pdrh

  Participant

  Topics: 30

  Replies: 32

  Been thanked: 2 times
  10/11/2024 at 6:57 AM #238842
  SnorreDK

  Noone can help u if u not share the code

  

  SnorreDK

  Participant

  Topics: 17

  Replies: 112

  Been thanked: 6 times
  10/11/2024 at 7:02 AM #238843
  pdrh

  I have exported the itf file and selected it but for some reason it is not appearing

  

  pdrh

  Participant

  Topics: 30

  Replies: 32

  Been thanked: 2 times
  10/11/2024 at 8:28 AM #238848
  GraHal

  After getting to the stage shown in your screenshot, i.e. .itf already attached … all you should need to do is to click on ‘Submit’ at bottom of page.

  Weird that the .itf is not posting … try again.

  

  GraHal

  Participant

  Topics: 212

  Replies: 8784

  Been thanked: 2184 times
  10/11/2024 at 8:34 AM #238849
  pdrh

  That is what I have done a number of times . I have selected both the itf file and screenshot but only the screenshot is uploading

  

  pdrh

  Participant

  Topics: 30

  Replies: 32

  Been thanked: 2 times
  10/11/2024 at 9:02 AM #238850
  SnorreDK

  why not just paste the code?

  

  SnorreDK

  Participant

  Topics: 17

  Replies: 112

  Been thanked: 6 times
  10/11/2024 at 9:27 AM #238856
  GraHal

  Did you export the .itf using Option 1 – ‘None, Code will be fully editable’ ?

  Above is just a thought as to why the .itf may not be attaching??

  

  GraHal

  Participant

  Topics: 212

  Replies: 8784

  Been thanked: 2184 times
  10/11/2024 at 9:35 AM #238857
  pdrh

  Yes I exported with “none’

  I am going to try rebooting my computer

  

  pdrh

  Participant

  Topics: 30

  Replies: 32

  Been thanked: 2 times
  10/11/2024 at 9:38 AM #238858
  pdrh

  Because then the code is not as easily read

  // Definition of code parameters
  DEFPARAM CumulateOrders = false // Cumulating positions deactivated
  // The system will cancel all pending orders and close all positions at 0:00. No new ones will be allowed until after the “FLATBEFORE” time.
  DEFPARAM FLATBEFORE = 100000
  // Cancel all pending orders and close all positions at the “FLATAFTER” time
  DEFPARAM FLATAFTER = 155800

  // Prevents the system from creating new orders to enter the market or increase position size before the specified time
  noEntryBeforeTime = 100000
  timeEnterBefore = time >= noEntryBeforeTime

  // Prevents the system from placing new orders to enter the market or increase position size after the specified time
  noEntryAfterTime = 150000
  timeEnterAfter = time < noEntryAfterTime

  p=1
  Start=100000
  If Time=start then
  LTC=0
  STC=0
  SRev=0
  LRev=0
  endif
  Timeframe (10minutes,updateonclose)
  ignored, indicator1 = CALL “PRC_SuperTrend Extended”[2.236, 66, 1, 10]
  indicator2, ignored = CALL “PRC_SuperTrend Extended”[2.236, 66, 1, 10]
  iprice10=totalprice
  TRND=ROC[2](iprice10)
  UP10 = ((indicator1>indicator2)and TRND>0)
  DWN10 =((indicator1<indicator2)and TRND<0)

  Timeframe(default)
  ignored, indicator3 = CALL “PRC_SuperTrend Extended”[2.236, 66, 1, 10]
  indicator4, ignored = CALL “PRC_SuperTrend Extended”[2.236, 66, 1, 10]
  UP = (indicator3 >= indicator4)
  DWN =(indicator3 <= indicator4)
  iprice=totalprice
  Ind5=Supertrend[a,b]
  UE=iprice crosses over Ind5
  DE =iprice crosses under Ind5
  If UP and UP10 and UE and LTC<1 and SRev<1and Timeenterbefore and Timeenterafter AND not onmarket then
  Buy p contract at market
  LTC=LTC+1
  SL=Lstp
  TP=Ltgt
  Endif
  //if long stopped and short term trend down enter short
  IF longonmarket[1] and not onmarket and strategyprofit<strategyprofit[1] and DWN and LRev<1 then
  sellshort p contracts at market
  LRev=LRev+1
  Srev=Srev+1
  SL=sstpR
  TP=stgtR
  Endif
  If DWN and DWN10 and DE and STC<1 and LRev<1and Timeenterbefore and Timeenterafter and NOT onmarket then
  Sellshort p contract at market
  STC=STC+1
  SL=sstp
  TP=stgt
  Endif
  //if short stopped and short term tren up then
  If shortonmarket[1] and not onmarket and strategyprofit<strategyprofit[1] and UP and SRev<1 then
  buy p contracts at market
  SRev=SRev+1
  Lrev=Lrev+1
  SL=lstpR
  TP=ltgtR
  Endif
  set Stop PLoss SL
  Set target pprofit TP

  

  pdrh

  Participant

  Topics: 30

  Replies: 32

  Been thanked: 2 times
  10/11/2024 at 9:46 AM #238859
  SnorreDK

  Code

  Code

  // Definition of code parameters DEFPARAM CumulateOrders = false // Cumulating positions deactivated // The system will cancel all pending orders and close all positions at 0:00. No new ones will be allowed until after the “FLATBEFORE” time. DEFPARAM FLATBEFORE = 100000 // Cancel all pending orders and close all positions at the “FLATAFTER” time DEFPARAM FLATAFTER = 155800 // Prevents the system from creating new orders to enter the market or increase position size before the specified time noEntryBeforeTime = 100000 timeEnterBefore = time >= noEntryBeforeTime // Prevents the system from placing new orders to enter the market or increase position size after the specified time noEntryAfterTime = 150000 timeEnterAfter = time < noEntryAfterTime p=1 Start=100000 If Time=start then LTC=0 STC=0 SRev=0 LRev=0 endif Timeframe (10minutes,updateonclose) ignored, indicator1 = CALL “PRC_SuperTrend Extended”[2.236, 66, 1, 10] indicator2, ignored = CALL “PRC_SuperTrend Extended”[2.236, 66, 1, 10] iprice10=totalprice TRND=ROC[2](iprice10) UP10 = ((indicator1>indicator2)and TRND>0) DWN10 =((indicator1<indicator2)and TRND<0) Timeframe(default) ignored, indicator3 = CALL “PRC_SuperTrend Extended”[2.236, 66, 1, 10] indicator4, ignored = CALL “PRC_SuperTrend Extended”[2.236, 66, 1, 10] UP = (indicator3 >= indicator4) DWN =(indicator3 <= indicator4) iprice=totalprice Ind5=Supertrend[a,b] UE=iprice crosses over Ind5 DE =iprice crosses under Ind5 If UP and UP10 and UE and LTC<1 and SRev<1and Timeenterbefore and Timeenterafter AND not onmarket then Buy p contract at market LTC=LTC+1 SL=Lstp TP=Ltgt Endif //if long stopped and short term trend down enter short IF longonmarket[1] and not onmarket and strategyprofit<strategyprofit[1] and DWN and LRev<1 then sellshort p contracts at market LRev=LRev+1 Srev=Srev+1 SL=sstpR TP=stgtR Endif If DWN and DWN10 and DE and STC<1 and LRev<1and Timeenterbefore and Timeenterafter and NOT onmarket then Sellshort p contract at market STC=STC+1 SL=sstp TP=stgt Endif //if short stopped and short term tren up then If shortonmarket[1] and not onmarket and strategyprofit<strategyprofit[1] and UP and SRev<1 then buy p contracts at market SRev=SRev+1 Lrev=Lrev+1 SL=lstpR TP=ltgtR Endif set Stop PLoss SL Set target pprofit TP

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70

  // Definition of code parameters DEFPARAM CumulateOrders = false // Cumulating positions deactivated // The system will cancel all pending orders and close all positions at 0:00. No new ones will be allowed until after the “FLATBEFORE” time. DEFPARAM FLATBEFORE = 100000 // Cancel all pending orders and close all positions at the “FLATAFTER” time DEFPARAM FLATAFTER = 155800   // Prevents the system from creating new orders to enter the market or increase position size before the specified time noEntryBeforeTime = 100000 timeEnterBefore = time >= noEntryBeforeTime   // Prevents the system from placing new orders to enter the market or increase position size after the specified time noEntryAfterTime = 150000 timeEnterAfter = time < noEntryAfterTime   p=1 Start=100000 If Time=start then LTC=0 STC=0 SRev=0 LRev=0 endif Timeframe (10minutes,updateonclose) ignored, indicator1 = CALL “PRC_SuperTrend Extended”[2.236, 66, 1, 10] indicator2, ignored = CALL “PRC_SuperTrend Extended”[2.236, 66, 1, 10] iprice10=totalprice TRND=ROC[2](iprice10) UP10 = ((indicator1>indicator2)and TRND>0) DWN10 =((indicator1<indicator2)and TRND<0)   Timeframe(default) ignored, indicator3 = CALL “PRC_SuperTrend Extended”[2.236, 66, 1, 10] indicator4, ignored = CALL “PRC_SuperTrend Extended”[2.236, 66, 1, 10] UP = (indicator3 >= indicator4) DWN =(indicator3 <= indicator4) iprice=totalprice Ind5=Supertrend[a,b] UE=iprice crosses over Ind5 DE =iprice crosses under Ind5 If UP and UP10 and UE and LTC<1 and SRev<1and Timeenterbefore and Timeenterafter AND not onmarket then Buy p contract at market LTC=LTC+1 SL=Lstp TP=Ltgt Endif //if long stopped and short term trend down enter short IF longonmarket[1] and not onmarket and strategyprofit<strategyprofit[1] and DWN and LRev<1 then sellshort p contracts at market LRev=LRev+1 Srev=Srev+1 SL=sstpR TP=stgtR Endif If DWN and DWN10 and DE and STC<1 and LRev<1and Timeenterbefore and Timeenterafter and NOT onmarket then Sellshort p contract at market STC=STC+1 SL=sstp TP=stgt Endif //if short stopped and short term tren up then If shortonmarket[1] and not onmarket and strategyprofit<strategyprofit[1] and UP and SRev<1 then buy p contracts at market SRev=SRev+1 Lrev=Lrev+1 SL=lstpR TP=ltgtR Endif set Stop PLoss SL Set target pprofit TP

   

  

  SnorreDK

  Participant

  Topics: 17

  Replies: 112

  Been thanked: 6 times
• Author
  Posts