SuperTrended Moving Averages from Tradingview

• 06/23/2023 at 12:01 PM #216653
  AndrewtUK

  Hi

  Please see below to code.

  //@version=5

  indicator(‘SuperTrended Moving Averages’, ‘ST MA’, overlay=true, format=format.price, precision=2, timeframe=”, timeframe_gaps=false)
  src = input(close, title=’Source’)
  mav = input.string(title=’Moving Average Type’, defval=’EMA’, options=[‘SMA’, ‘EMA’, ‘WMA’, ‘DEMA’, ‘TMA’, ‘VAR’, ‘WWMA’, ‘ZLEMA’, ‘TSF’, ‘HULL’, ‘TILL’])
  length = input.int(100, ‘Moving Average Length’, minval=1)
  Periods = input(title=’ATR Period’, defval=10)
  Multiplier = input.float(title=’ATR Multiplier’, step=0.1, defval=0.5)
  changeATR = input(title=’Change ATR Calculation Method ?’, defval=true)
  showsignals = input(title=’Show Buy/Sell Signals ?’, defval=false)
  highlighting = input(title=’Highlighter On/Off ?’, defval=true)

   

  T3a1 = input.float(0.7, ‘TILLSON T3 Volume Factor’, step=0.1)

  Var_Func(src, length) =>
  valpha = 2 / (length + 1)
  vud1 = src > src[1] ? src – src[1] : 0
  vdd1 = src < src[1] ? src[1] – src : 0
  vUD = math.sum(vud1, 9)
  vDD = math.sum(vdd1, 9)
  vCMO = nz((vUD – vDD) / (vUD + vDD))
  VAR = 0.0
  VAR := nz(valpha * math.abs(vCMO) * src) + (1 – valpha * math.abs(vCMO)) * nz(VAR[1])
  VAR
  VAR = Var_Func(src, length)
  DEMA = 2 * ta.ema(src, length) – ta.ema(ta.ema(src, length), length)
  Wwma_Func(src, length) =>
  wwalpha = 1 / length
  WWMA = 0.0
  WWMA := wwalpha * src + (1 – wwalpha) * nz(WWMA[1])
  WWMA
  WWMA = Wwma_Func(src, length)
  Zlema_Func(src, length) =>
  zxLag = length / 2 == math.round(length / 2) ? length / 2 : (length – 1) / 2
  zxEMAData = src + src – src[zxLag]
  ZLEMA = ta.ema(zxEMAData, length)
  ZLEMA
  ZLEMA = Zlema_Func(src, length)
  Tsf_Func(src, length) =>
  lrc = ta.linreg(src, length, 0)
  lrc1 = ta.linreg(src, length, 1)
  lrs = lrc – lrc1
  TSF = ta.linreg(src, length, 0) + lrs
  TSF
  TSF = Tsf_Func(src, length)
  HMA = ta.wma(2 * ta.wma(src, length / 2) – ta.wma(src, length), math.round(math.sqrt(length)))
  T3e1 = ta.ema(src, length)
  T3e2 = ta.ema(T3e1, length)
  T3e3 = ta.ema(T3e2, length)
  T3e4 = ta.ema(T3e3, length)
  T3e5 = ta.ema(T3e4, length)
  T3e6 = ta.ema(T3e5, length)
  T3c1 = -T3a1 * T3a1 * T3a1
  T3c2 = 3 * T3a1 * T3a1 + 3 * T3a1 * T3a1 * T3a1
  T3c3 = -6 * T3a1 * T3a1 – 3 * T3a1 – 3 * T3a1 * T3a1 * T3a1
  T3c4 = 1 + 3 * T3a1 + T3a1 * T3a1 * T3a1 + 3 * T3a1 * T3a1
  T3 = T3c1 * T3e6 + T3c2 * T3e5 + T3c3 * T3e4 + T3c4 * T3e3

  getMA(src, length) =>
  ma = 0.0
  if mav == ‘SMA’
  ma := ta.sma(src, length)
  ma

  if mav == ‘EMA’
  ma := ta.ema(src, length)
  ma

  if mav == ‘WMA’
  ma := ta.wma(src, length)
  ma

  if mav == ‘DEMA’
  ma := DEMA
  ma

  if mav == ‘TMA’
  ma := ta.sma(ta.sma(src, math.ceil(length / 2)), math.floor(length / 2) + 1)
  ma

  if mav == ‘VAR’
  ma := VAR
  ma

  if mav == ‘WWMA’
  ma := WWMA
  ma

  if mav == ‘ZLEMA’
  ma := ZLEMA
  ma

  if mav == ‘TSF’
  ma := TSF
  ma

  if mav == ‘HULL’
  ma := HMA
  ma

  if mav == ‘TILL’
  ma := T3
  ma
  ma

  MA = getMA(src, length)

   

  atr2 = ta.sma(ta.tr, Periods)
  atr = changeATR ? ta.atr(Periods) : atr2
  up = MA – Multiplier * atr
  up1 = nz(up[1], up)
  up := close[1] > up1 ? math.max(up, up1) : up
  dn = MA + Multiplier * atr
  dn1 = nz(dn[1], dn)
  dn := close[1] < dn1 ? math.min(dn, dn1) : dn
  trend = 1
  trend := nz(trend[1], trend)
  trend := trend == -1 and close > dn1 ? 1 : trend == 1 and close < up1 ? -1 : trend
  upPlot = plot(trend == 1 ? up : na, title=’Up Trend’, color=color.new(color.green, 100), linewidth=0, style=plot.style_linebr)
  buySignal = trend == 1 and trend[1] == -1
  plotshape(buySignal ? up : na, title=’UpTrend Begins’, location=location.absolute, style=shape.circle, size=size.tiny, color=color.new(color.green, 100))
  plotshape(buySignal and showsignals ? up : na, title=’Buy’, text=’Buy’, location=location.absolute, style=shape.labelup, size=size.tiny, color=color.new(color.green, 0), textcolor=color.new(color.white, 0))
  dnPlot = plot(trend == 1 ? na : dn, title=’Down Trend’, style=plot.style_linebr, linewidth=0, color=color.new(color.red, 100))
  sellSignal = trend == -1 and trend[1] == 1
  plotshape(sellSignal ? dn : na, title=’DownTrend Begins’, location=location.absolute, style=shape.circle, size=size.tiny, color=color.new(color.red, 100))
  plotshape(sellSignal and showsignals ? dn : na, title=’Sell’, text=’Sell’, location=location.absolute, style=shape.labeldown, size=size.tiny, color=color.new(color.red, 0), textcolor=color.new(color.white, 0))
  mPlot = plot(ohlc4, title=”, style=plot.style_circles, linewidth=0)
  colorup = input.color(defval = color.new(color.green, 60), title = “ColorU”, inline = ‘color’)
  colordown = input.color(defval = color.new(color.red, 60), title = “ColorD”, inline = ‘color’)
  longFillColor = highlighting ? trend == 1 ? colorup : color.white : color.new(color.white, 100)
  shortFillColor = highlighting ? trend == -1 ? colordown : color.white : color.new(color.white, 100)
  fill(mPlot, upPlot, title=’UpTrend Highligter’, color=longFillColor)
  fill(mPlot, dnPlot, title=’DownTrend Highligter’, color=shortFillColor)
  alertcondition(buySignal, title=’SuperTrend Buy’, message=’SuperTrend Buy!’)
  alertcondition(sellSignal, title=’SuperTrend Sell’, message=’SuperTrend Sell!’)
  changeCond = trend != trend[1]
  alertcondition(changeCond, title=’SuperTrend Direction Change’, message=’SuperTrend has changed direction!’)

   

  Cheers

  

  AndrewtUK

  Participant

  Topics: 2

  Replies: 0

  Been thanked: 0 times
  06/23/2023 at 3:04 PM #216663
  Nicolas

  Yes I see the code above thank you.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  06/25/2023 at 12:00 AM #216704
  JS

  Hi @AndrewtUK

  Hereby the conversion of “Super Trended Moving Averages” from TradingView…

  The color fill is not in the code (does not work optimally) but is set in the graph under “color zones”…

  Next time, please provide some more information than just pasting the code on the forum… 🙂

   

  Super Trended MA

  src = Close //Data type mav = 1 //Moving Average Value: 0=SMA, 1=EMA, 2=WMA, 3=DEMA, 4=TMA, 5=VAR, 6=WWMA, 7=ZLEMA, 8=TSF, 9=HMA, 10=T3 length = 100 //Moving Average Length Periods = 10 //ATR period Multiplier = 0.5 //ATR Multiplier T3a1 = 0.7 //Tillson T3 Volume Factor valpha = 2 / (length+1) If src > src[1] then //Green candle vud1 = src - src[1] //Green profit else vud1 = 0 EndIf If src < src[1] then //Red candle vdd1 = src[1] - src //Red Loss else vdd1=0 EndIf vUD = Summation[9](vud1) //Summation [9] Green profit vDD = Summation[9](vdd1) //Summation [9] Red Loss vCMO = ((vUD - vDD) / vUD + vDD) //Cumulative Market Oscillator Once VAR = 0 VAR = (valpha * Abs(vCMO) * src) + (1 - valpha * Abs(vCMO)) * VAR[1] xDEMA = 2 * ExponentialAverage[length](src) - ExponentialAverage[length](ExponentialAverage[length](src)) wwalpha = 1 //Length Once WWMA = 0 WWMA = wwalpha * src + (1 - wwalpha) * WWMA[1] If (length / 2) = Round(length / 2) then //Check even/odd length for "zero lag" zxLag = (length / 2) Else zxLag = ((length-1) / 2) EndIf zxEMAData = src + src - src[zxLag] xZLEMA = ExponentialAverage[length](zxEMAData) //Zero Lag Exponential Average lrc = LinearRegression[length](src) lrc1 = lrc[1] lrs = lrc - lrc1 TSF = LinearRegression[length](src) + lrs //Time Series Forecast HMA = WeightedAverage[Round(SQRT(length))](2 * WeightedAverage[length/2](src) - WeightedAverage[length](src)) //Hull Moving Average T3e1 = ExponentialAverage[length](src) T3e2 = ExponentialAverage[length](T3e1) T3e3 = ExponentialAverage[length](T3e2) T3e4 = ExponentialAverage[length](T3e3) T3e5 = ExponentialAverage[length](T3e4) T3e6 = ExponentialAverage[length](T3e5) T3c1 = -T3a1 * T3a1 * T3a1 T3c2 = 3 * T3a1 * T3a1 + 3 * T3a1 * T3a1 * T3a1 T3c3 = -6 * T3a1 * T3a1 - 3 * T3a1 - 3 * T3a1 * T3a1 * T3a1 T3c4 = 1 + 3 * T3a1 + T3a1 * T3a1 * T3a1 + 3 * T3a1 * T3a1 T3 = T3c1 * T3e6 + T3c2 * T3e5 + T3c3 * T3e4 + T3c4 * T3e3 //T3 Moving Average Once MA = 0 If mav = 0 then MA = Average[length,0](src) //SMA ElsIf mav = 1 then MA = Average[length,1](src) //EMA ElsIf mav = 2 then MA = Average[length,2](src) //WEMA ElsIf mav = 3 then MA = xDEMA //DEMA ElsIf mav = 4 then MA = Average[Floor(length / 2) + 1](Average[Ceil(length / 2)](src)) //TMA ElsIf mav = 5 then MA = VAR //VAR a.k.a. VIDYA Variable Index Dynamic Moving Average ElsIf mav = 6 then MA = WWMA //WWMA Welles Wilder's Moving Average ElsIf mav = 7 then MA = xZLEMA //ZLEMA Zero Lag Exponential Moving Average ElsIf mav = 8 then MA = TSF //TSF Time Series Forecast ElsIf mav = 9 then MA = HMA //HMA Hull Moving Average ElsIf mav = 10 then MA = T3 //T3 Tillson Moving Average EndIf atr = AverageTrueRange[Periods](src) up = MA - Multiplier * atr up1 = up[1] If src[1] > up1 then up = Max(up, up1) Else up = up EndIf dn = MA + Multiplier * atr dn1 = dn[1] If src[1] < dn1 then dn = Min(dn, dn1) else dn = dn EndIf Once trend = 1 If trend = -1 and Close > dn1 then trend = 1 ElsIf trend = 1 and Close < up1 then trend = -1 EndIf If trend = 1 then upR=0 upG=255 upB=0 upAlpha=0 Else upR=0 upG=0 upB=0 upAlpha=0 EndIf //If Close > up then //ColorBetween(Close,up,0,255,0) //EndIf If trend = -1 then dnR=255 dnG=0 dnB=0 dnAlpha=0 else dnR=0 dnG=0 dnB=0 dnAlpha=0 EndIf //If Close < dn then //ColorBetween(Close,dn,255,0,0) //EndIf Return up as "Up Trend" coloured(upR,upG,upB,upAlpha), dn as "Down Trend" coloured(dnR,dnG,dnB, dnAlpha)

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  src = Close //Data type mav = 1 //Moving Average  Value: 0=SMA, 1=EMA, 2=WMA, 3=DEMA, 4=TMA, 5=VAR, 6=WWMA, 7=ZLEMA, 8=TSF, 9=HMA, 10=T3 length = 100 //Moving Average Length Periods = 10 //ATR period Multiplier = 0.5 //ATR Multiplier   T3a1 = 0.7 //Tillson T3 Volume Factor   valpha = 2 / (length+1)   If src > src[1] then //Green candle vud1 = src - src[1] //Green profit else vud1 = 0 EndIf   If src < src[1] then //Red candle vdd1 = src[1] - src //Red Loss else vdd1=0 EndIf   vUD = Summation[9](vud1) //Summation [9] Green profit vDD = Summation[9](vdd1) //Summation [9] Red Loss   vCMO = ((vUD - vDD) / vUD + vDD) //Cumulative Market Oscillator Once VAR = 0 VAR = (valpha * Abs(vCMO) * src) + (1 - valpha * Abs(vCMO)) * VAR[1]   xDEMA = 2 * ExponentialAverage[length](src) - ExponentialAverage[length](ExponentialAverage[length](src))   wwalpha = 1 //Length Once WWMA = 0 WWMA = wwalpha * src + (1 - wwalpha) * WWMA[1]   If (length / 2) = Round(length / 2) then //Check even/odd length for "zero lag" zxLag = (length / 2) Else zxLag = ((length-1) / 2) EndIf   zxEMAData = src + src - src[zxLag] xZLEMA = ExponentialAverage[length](zxEMAData) //Zero Lag Exponential Average   lrc = LinearRegression[length](src) lrc1 = lrc[1] lrs = lrc - lrc1 TSF = LinearRegression[length](src) + lrs //Time Series Forecast   HMA = WeightedAverage[Round(SQRT(length))](2 * WeightedAverage[length/2](src) - WeightedAverage[length](src)) //Hull Moving Average   T3e1 = ExponentialAverage[length](src) T3e2 = ExponentialAverage[length](T3e1) T3e3 = ExponentialAverage[length](T3e2) T3e4 = ExponentialAverage[length](T3e3) T3e5 = ExponentialAverage[length](T3e4) T3e6 = ExponentialAverage[length](T3e5)   T3c1 = -T3a1 * T3a1 * T3a1 T3c2 = 3 * T3a1 * T3a1 + 3 * T3a1 * T3a1 * T3a1 T3c3 = -6 * T3a1 * T3a1 - 3 * T3a1 - 3 * T3a1 * T3a1 * T3a1 T3c4 = 1 + 3 * T3a1 + T3a1 * T3a1 * T3a1 + 3 * T3a1 * T3a1 T3 = T3c1 * T3e6 + T3c2 * T3e5 + T3c3 * T3e4 + T3c4 * T3e3 //T3 Moving Average   Once MA = 0 If mav = 0 then MA = Average[length,0](src) //SMA ElsIf mav = 1 then MA = Average[length,1](src) //EMA ElsIf mav = 2 then MA = Average[length,2](src) //WEMA ElsIf mav = 3 then MA = xDEMA //DEMA ElsIf mav = 4 then MA = Average[Floor(length / 2) + 1](Average[Ceil(length / 2)](src)) //TMA ElsIf mav = 5 then MA = VAR //VAR a.k.a. VIDYA Variable Index Dynamic Moving Average ElsIf mav = 6 then MA = WWMA //WWMA Welles Wilder's Moving Average ElsIf mav = 7 then MA = xZLEMA //ZLEMA Zero Lag Exponential Moving Average ElsIf mav = 8 then MA = TSF //TSF Time Series Forecast ElsIf mav = 9 then MA = HMA //HMA Hull Moving Average ElsIf mav = 10 then MA = T3 //T3 Tillson Moving Average EndIf   atr = AverageTrueRange[Periods](src) up = MA - Multiplier * atr up1 = up[1] If src[1] > up1 then up = Max(up, up1) Else up = up EndIf dn = MA + Multiplier * atr dn1 = dn[1] If src[1] < dn1 then dn = Min(dn, dn1) else dn = dn EndIf   Once trend = 1 If trend = -1 and Close > dn1 then trend = 1 ElsIf trend = 1 and Close < up1 then trend = -1 EndIf   If trend = 1 then upR=0 upG=255 upB=0 upAlpha=0 Else upR=0 upG=0 upB=0 upAlpha=0 EndIf   //If Close > up then //ColorBetween(Close,up,0,255,0) //EndIf   If trend = -1 then dnR=255 dnG=0 dnB=0 dnAlpha=0 else dnR=0 dnG=0 dnB=0 dnAlpha=0 EndIf   //If Close < dn then //ColorBetween(Close,dn,255,0,0) //EndIf   Return up as "Up Trend" coloured(upR,upG,upB,upAlpha), dn as "Down Trend" coloured(dnR,dnG,dnB, dnAlpha)

  

  JS

  Participant

  Topics: 26

  Replies: 1716

  Been thanked: 779 times
  06/25/2023 at 9:59 AM #216710
  JS

  Hi,

  Hereby the trading system based on the “Super Trended MA” indicator…

  When the trend changes from 1 to -1: SHORT…

  When the trend changes from -1 to 1: LONG…

  Number of contracts can be adjusted in “PositionSize” now standard 1 contract…

   

  Super Trended MA TS

  src = Close //Data type mav = 1 //Moving Average Value: 0=SMA, 1=EMA, 2=WMA, 3=DEMA, 4=TMA, 5=VAR, 6=WWMA, 7=ZLEMA, 8=TSF, 9=HMA, 10=T3 length = 100 //Moving Average Length Periods = 10 //ATR period Multiplier = 0.5 //ATR Multiplier T3a1 = 0.7 //Tillson T3 Volume Factor valpha = 2 / (length+1) PositionSize = 1 //Default PositionSize for trading If src > src[1] then //Green candle vud1 = src - src[1] //Green profit else vud1 = 0 EndIf If src < src[1] then //Red candle vdd1 = src[1] - src //Red Loss else vdd1=0 EndIf vUD = Summation[9](vud1) //Summation [9] Green profit vDD = Summation[9](vdd1) //Summation [9] Red Loss vCMO = ((vUD - vDD) / vUD + vDD) //Cumulative Market Oscillator Once VAR = 0 VAR = (valpha * Abs(vCMO) * src) + (1 - valpha * Abs(vCMO)) * VAR[1] xDEMA = 2 * ExponentialAverage[length](src) - ExponentialAverage[length](ExponentialAverage[length](src)) wwalpha = 1 //Length Once WWMA = 0 WWMA = wwalpha * src + (1 - wwalpha) * WWMA[1] If (length / 2) = Round(length / 2) then //Check even/odd length for "zero lag" zxLag = (length / 2) Else zxLag = ((length-1) / 2) EndIf zxEMAData = src + src - src[zxLag] xZLEMA = ExponentialAverage[length](zxEMAData) //Zero Lag Exponential Average lrc = LinearRegression[length](src) lrc1 = lrc[1] lrs = lrc - lrc1 TSF = LinearRegression[length](src) + lrs //Time Series Forecast HMA = WeightedAverage[Round(SQRT(length))](2 * WeightedAverage[length/2](src) - WeightedAverage[length](src)) //Hull Moving Average T3e1 = ExponentialAverage[length](src) T3e2 = ExponentialAverage[length](T3e1) T3e3 = ExponentialAverage[length](T3e2) T3e4 = ExponentialAverage[length](T3e3) T3e5 = ExponentialAverage[length](T3e4) T3e6 = ExponentialAverage[length](T3e5) T3c1 = -T3a1 * T3a1 * T3a1 T3c2 = 3 * T3a1 * T3a1 + 3 * T3a1 * T3a1 * T3a1 T3c3 = -6 * T3a1 * T3a1 - 3 * T3a1 - 3 * T3a1 * T3a1 * T3a1 T3c4 = 1 + 3 * T3a1 + T3a1 * T3a1 * T3a1 + 3 * T3a1 * T3a1 T3 = T3c1 * T3e6 + T3c2 * T3e5 + T3c3 * T3e4 + T3c4 * T3e3 //T3 Moving Average Once MA = 0 If mav = 0 then MA = Average[length,0](src) //SMA ElsIf mav = 1 then MA = Average[length,1](src) //EMA ElsIf mav = 2 then MA = Average[length,2](src) //WEMA ElsIf mav = 3 then MA = xDEMA //DEMA ElsIf mav = 4 then MA = Average[Floor(length / 2) + 1](Average[Ceil(length / 2)](src)) //TMA ElsIf mav = 5 then MA = VAR //VAR a.k.a. VIDYA Variable Index Dynamic Moving Average ElsIf mav = 6 then MA = WWMA //WWMA Welles Wilder's Moving Average ElsIf mav = 7 then MA = xZLEMA //ZLEMA Zero Lag Exponential Moving Average ElsIf mav = 8 then MA = TSF //TSF Time Series Forecast ElsIf mav = 9 then MA = HMA //HMA Hull Moving Average ElsIf mav = 10 then MA = T3 //T3 Tillson Moving Average EndIf atr = AverageTrueRange[Periods](src) up = MA - Multiplier * atr up1 = up[1] If src[1] > up1 then up = Max(up, up1) Else up = up EndIf dn = MA + Multiplier * atr dn1 = dn[1] If src[1] < dn1 then dn = Min(dn, dn1) else dn = dn EndIf Once trend = 1 If trend = -1 and Close > dn1 then trend = 1 ElsIf trend = 1 and Close < up1 then trend = -1 EndIf If Trend = 1 and Trend[1] = -1 then Buy PositionSize contract at Market EndIf If Trend = -1 and Trend[1] = 1 then SellShort PositionSize contract at Market EndIf

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  src = Close //Data type mav = 1 //Moving Average  Value: 0=SMA, 1=EMA, 2=WMA, 3=DEMA, 4=TMA, 5=VAR, 6=WWMA, 7=ZLEMA, 8=TSF, 9=HMA, 10=T3 length = 100 //Moving Average Length Periods = 10 //ATR period Multiplier = 0.5 //ATR Multiplier   T3a1 = 0.7 //Tillson T3 Volume Factor   valpha = 2 / (length+1)   PositionSize = 1 //Default PositionSize for trading   If src > src[1] then //Green candle vud1 = src - src[1] //Green profit else vud1 = 0 EndIf   If src < src[1] then //Red candle vdd1 = src[1] - src //Red Loss else vdd1=0 EndIf   vUD = Summation[9](vud1) //Summation [9] Green profit vDD = Summation[9](vdd1) //Summation [9] Red Loss   vCMO = ((vUD - vDD) / vUD + vDD) //Cumulative Market Oscillator Once VAR = 0 VAR = (valpha * Abs(vCMO) * src) + (1 - valpha * Abs(vCMO)) * VAR[1]   xDEMA = 2 * ExponentialAverage[length](src) - ExponentialAverage[length](ExponentialAverage[length](src))   wwalpha = 1 //Length Once WWMA = 0 WWMA = wwalpha * src + (1 - wwalpha) * WWMA[1]   If (length / 2) = Round(length / 2) then //Check even/odd length for "zero lag" zxLag = (length / 2) Else zxLag = ((length-1) / 2) EndIf   zxEMAData = src + src - src[zxLag] xZLEMA = ExponentialAverage[length](zxEMAData) //Zero Lag Exponential Average   lrc = LinearRegression[length](src) lrc1 = lrc[1] lrs = lrc - lrc1 TSF = LinearRegression[length](src) + lrs //Time Series Forecast   HMA = WeightedAverage[Round(SQRT(length))](2 * WeightedAverage[length/2](src) - WeightedAverage[length](src)) //Hull Moving Average   T3e1 = ExponentialAverage[length](src) T3e2 = ExponentialAverage[length](T3e1) T3e3 = ExponentialAverage[length](T3e2) T3e4 = ExponentialAverage[length](T3e3) T3e5 = ExponentialAverage[length](T3e4) T3e6 = ExponentialAverage[length](T3e5)   T3c1 = -T3a1 * T3a1 * T3a1 T3c2 = 3 * T3a1 * T3a1 + 3 * T3a1 * T3a1 * T3a1 T3c3 = -6 * T3a1 * T3a1 - 3 * T3a1 - 3 * T3a1 * T3a1 * T3a1 T3c4 = 1 + 3 * T3a1 + T3a1 * T3a1 * T3a1 + 3 * T3a1 * T3a1 T3 = T3c1 * T3e6 + T3c2 * T3e5 + T3c3 * T3e4 + T3c4 * T3e3 //T3 Moving Average   Once MA = 0 If mav = 0 then MA = Average[length,0](src) //SMA ElsIf mav = 1 then MA = Average[length,1](src) //EMA ElsIf mav = 2 then MA = Average[length,2](src) //WEMA ElsIf mav = 3 then MA = xDEMA //DEMA ElsIf mav = 4 then MA = Average[Floor(length / 2) + 1](Average[Ceil(length / 2)](src)) //TMA ElsIf mav = 5 then MA = VAR //VAR a.k.a. VIDYA Variable Index Dynamic Moving Average ElsIf mav = 6 then MA = WWMA //WWMA Welles Wilder's Moving Average ElsIf mav = 7 then MA = xZLEMA //ZLEMA Zero Lag Exponential Moving Average ElsIf mav = 8 then MA = TSF //TSF Time Series Forecast ElsIf mav = 9 then MA = HMA //HMA Hull Moving Average ElsIf mav = 10 then MA = T3 //T3 Tillson Moving Average EndIf   atr = AverageTrueRange[Periods](src) up = MA - Multiplier * atr up1 = up[1] If src[1] > up1 then up = Max(up, up1) Else up = up EndIf dn = MA + Multiplier * atr dn1 = dn[1] If src[1] < dn1 then dn = Min(dn, dn1) else dn = dn EndIf   Once trend = 1 If trend = -1 and Close > dn1 then trend = 1 ElsIf trend = 1 and Close < up1 then trend = -1 EndIf   If Trend = 1 and Trend[1] = -1 then Buy PositionSize contract at Market EndIf   If Trend = -1 and Trend[1] = 1 then SellShort PositionSize contract at Market EndIf

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  JS

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  07/14/2023 at 10:43 AM #217647
  GraHal

  Thank You JS for converting the above code.

  Attached results on DJI M10 over 1K bars spread = 5.  .itf attached also.

  Only trouble is the System gets Rejected (insufficient history) at the 1st bar when code tries to execute. It is the System which spawned the Topic below

  https://www.prorealcode.com/topic/long-time-to-run-system-code-causes-rejection/

  I sent in a Technical Report to PRT and got amended code back as below, only thing is the PRT amended code does not take any trades. I found this also (prior to Tech Report submission) … if the variable values used do not take trades then the System does not get Rejected.

  length = 30 //Moving Average Length Periods = 19 //ATR period Multiplier = 1.1 //ATR Multiplier

  1 2 3

  length = 30 //Moving Average Length Periods = 19 //ATR period Multiplier = 1.1 //ATR Multiplier

  So the values above are my values, but gets Rejected.

  Code below is PRT amended code after Tech Report.  The PRT version code is copied from an email. Would have been easier / more useful had PRT sent the .itf as the code below needs sorting due to line lengths etc.

  I have tried everything I can think of and got depressed (temporary! 🙂 ) yesterday over it, so I’m submitting here if anybody has any solution to the Rejection please?

  Who knows … if we find why Rejected with this System it may have knock-ons for other Systems which have been Rejected lately for insufficient history??

  DEFPARAM CUMULATEORDERS = False DEFPARAM PRELOADBARS = 10000 src = Close //Data type mav = 1 //Moving Average Value: 0=SMA, 1=EMA, 2=WMA, 3=DEMA, 4=TMA, 5=VAR, 6=WWMA, 7=ZLEMA, 8=TSF, 9=HMA, 10=T3 length = 100 //Moving Average Length Periods = 10 //ATR period Multiplier = 0.5 //ATR Multiplier T3a1 = 0.7 //Tillson T3 Volume Factor valpha = 2 / (length+1) PositionSize = 1 //Default PositionSize for trading If src > src[1] then //Green candle vud1 = src - src[1] //Green profit else vud1 = 0 EndIf If src < src[1] then //Red candle vdd1 = src[1] - src //Red Loss else vdd1=0 EndIf vUD = Summation[9](vud1) //Summation [9] Green profit vDD = Summation[9](vdd1) //Summation [9] Red Loss once vCMO=0 if vud <>0 then vCMO = ((vUD - vDD) / vUD + vDD) //Cumulative Market Oscillator endif once VAR=0 if barindex > 10 then VAR = (valpha * Abs(vCMO) * src) + (1 - valpha * Abs(vCMO)) *VAR[1] endif xDEMA = 2 * ExponentialAverage[length](src) - ExponentialAverage[length](ExponentialAverage[length](src)) wwalpha = 1 //Length Once WWMA = 0 if barindex >1 then WWMA = wwalpha * src + (1 - wwalpha) * WWMA[1] endif If (length / 2) = Round(length / 2) then //Check even/odd length for "zero lag" zxLag = (length / 2) Else zxLag = ((length-1) / 2) EndIf zxEMAData = src + src - src[zxLag] xZLEMA = ExponentialAverage[length](zxEMAData) //Zero Lag Exponential Average lrc = LinearRegression[length](src) lrc1 = lrc[1] lrs = lrc - lrc1 TSF = LinearRegression[length](src) + lrs //Time Series Forecast HMA = WeightedAverage[Round(SQRT(length))](2 * WeightedAverage[length/2](src) - WeightedAverage[length](src)) //Hull Moving Average T3e1 = ExponentialAverage[length](src) T3e2 = ExponentialAverage[length](T3e1) T3e3 = ExponentialAverage[length](T3e2) T3e4 = ExponentialAverage[length](T3e3) T3e5 = ExponentialAverage[length](T3e4) T3e6 = ExponentialAverage[length](T3e5) T3c1 = -T3a1 * T3a1 * T3a1 T3c2 = 3 * T3a1 * T3a1 + 3 * T3a1 * T3a1 * T3a1 T3c3 = -6 * T3a1 * T3a1 - 3 * T3a1 - 3 * T3a1 * T3a1 * T3a1 T3c4 = 1 + 3 * T3a1 + T3a1 * T3a1 * T3a1 + 3 * T3a1 * T3a1 T3 = T3c1 * T3e6 + T3c2 * T3e5 + T3c3 * T3e4 + T3c4 * T3e3 //T3 Moving Average Once MA = 0 If mav = 0 then MA = Average[length,0](src) //SMA ElsIf mav = 1 then MA = Average[length,1](src) //EMA ElsIf mav = 2 then MA = Average[length,2](src) //WEMA ElsIf mav = 3 then MA = xDEMA //DEMA ElsIf mav = 4 then MA = Average[Floor(length / 2) + 1](Average[Ceil(length / 2)](src)) //TMA ElsIf mav = 5 then MA = VAR //VAR a.k.a. VIDYA Variable Index Dynamic Moving Average ElsIf mav = 6 then MA = WWMA //WWMA Welles Wilder's Moving Average ElsIf mav = 7 then MA = xZLEMA //ZLEMA Zero Lag Exponential Moving Average ElsIf mav = 8 then MA = TSF //TSF Time Series Forecast ElsIf mav = 9 then MA = HMA //HMA Hull Moving Average ElsIf mav = 10 then MA = T3 //T3 Tillson Moving Average EndIf atr = AverageTrueRange[Periods](src) up = MA - Multiplier * atr up1 = up[1] If src[1] > up1 then up = Max(up, up1) Else up = up EndIf dn = MA + Multiplier * atr dn1 = dn[1] If src[1] < dn1 then dn = Min(dn, dn1) else dn = dn EndIf Once trend = 1 If trend = -1 and Close > dn1 then trend = 1 ElsIf trend = 1 and Close < up1 then trend = -1 EndIf If Trend = 1 and Trend[1] = -1 then Buy PositionSize contract at Market EndIf If Trend = -1 and Trend[1] = 1 then SellShort PositionSize contract at Market EndIf

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  DEFPARAM CUMULATEORDERS = False   DEFPARAM PRELOADBARS = 10000   src = Close //Data type   mav = 1 //Moving Average Value: 0=SMA, 1=EMA, 2=WMA, 3=DEMA, 4=TMA, 5=VAR, 6=WWMA, 7=ZLEMA, 8=TSF, 9=HMA, 10=T3 length = 100 //Moving Average Length Periods = 10 //ATR period Multiplier = 0.5 //ATR Multiplier     T3a1 = 0.7 //Tillson T3 Volume Factor     valpha = 2 / (length+1)     PositionSize = 1 //Default PositionSize for trading     If src > src[1] then //Green candle   vud1 = src - src[1] //Green profit   else   vud1 = 0   EndIf     If src < src[1] then //Red candle   vdd1 = src[1] - src //Red Loss   else   vdd1=0   EndIf     vUD = Summation[9](vud1) //Summation [9] Green profit vDD = Summation[9](vdd1) //Summation [9] Red Loss     once vCMO=0   if vud <>0 then   vCMO = ((vUD - vDD) / vUD + vDD) //Cumulative Market Oscillator endif     once VAR=0   if barindex > 10 then   VAR = (valpha * Abs(vCMO) * src) + (1 - valpha * Abs(vCMO)) *VAR[1] endif     xDEMA = 2 * ExponentialAverage[length](src) -   ExponentialAverage[length](ExponentialAverage[length](src))     wwalpha = 1 //Length     Once WWMA = 0   if barindex >1 then   WWMA = wwalpha * src + (1 - wwalpha) * WWMA[1] endif     If (length / 2) = Round(length / 2) then //Check even/odd length for "zero lag"   zxLag = (length / 2)   Else   zxLag = ((length-1) / 2)   EndIf     zxEMAData = src + src - src[zxLag]   xZLEMA = ExponentialAverage[length](zxEMAData) //Zero Lag Exponential Average     lrc = LinearRegression[length](src)   lrc1 = lrc[1]   lrs = lrc - lrc1   TSF = LinearRegression[length](src) + lrs //Time Series Forecast     HMA = WeightedAverage[Round(SQRT(length))](2 * WeightedAverage[length/2](src) -   WeightedAverage[length](src)) //Hull Moving Average     T3e1 = ExponentialAverage[length](src)   T3e2 = ExponentialAverage[length](T3e1)   T3e3 = ExponentialAverage[length](T3e2)   T3e4 = ExponentialAverage[length](T3e3)   T3e5 = ExponentialAverage[length](T3e4)   T3e6 = ExponentialAverage[length](T3e5)     T3c1 = -T3a1 * T3a1 * T3a1   T3c2 = 3 * T3a1 * T3a1 + 3 * T3a1 * T3a1 * T3a1   T3c3 = -6 * T3a1 * T3a1 - 3 * T3a1 - 3 * T3a1 * T3a1 * T3a1   T3c4 = 1 + 3 * T3a1 + T3a1 * T3a1 * T3a1 + 3 * T3a1 * T3a1   T3 = T3c1 * T3e6 + T3c2 * T3e5 + T3c3 * T3e4 + T3c4 * T3e3 //T3 Moving Average     Once MA = 0   If mav = 0 then   MA = Average[length,0](src) //SMA   ElsIf mav = 1 then   MA = Average[length,1](src) //EMA   ElsIf mav = 2 then   MA = Average[length,2](src) //WEMA   ElsIf mav = 3 then   MA = xDEMA //DEMA   ElsIf mav = 4 then   MA = Average[Floor(length / 2) + 1](Average[Ceil(length / 2)](src)) //TMA ElsIf mav = 5 then MA = VAR //VAR a.k.a. VIDYA Variable Index Dynamic Moving Average ElsIf mav = 6 then MA = WWMA //WWMA Welles Wilder's Moving Average ElsIf mav = 7 then MA = xZLEMA //ZLEMA Zero Lag Exponential Moving Average ElsIf mav = 8 then MA = TSF //TSF Time Series Forecast ElsIf mav = 9 then MA = HMA //HMA Hull Moving Average ElsIf mav = 10 then MA = T3 //T3 Tillson Moving Average EndIf     atr = AverageTrueRange[Periods](src)   up = MA - Multiplier * atr   up1 = up[1]   If src[1] > up1 then   up = Max(up, up1)   Else   up = up   EndIf   dn = MA + Multiplier * atr   dn1 = dn[1]   If src[1] < dn1 then   dn = Min(dn, dn1)   else   dn = dn   EndIf     Once trend = 1   If trend = -1 and Close > dn1 then   trend = 1   ElsIf trend = 1 and Close < up1 then   trend = -1   EndIf     If Trend = 1 and Trend[1] = -1 then   Buy PositionSize contract at Market   EndIf     If Trend = -1 and Trend[1] = 1 then   SellShort PositionSize contract at Market EndIf

   

   

   

  

  GraHal

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  07/14/2023 at 1:03 PM #217655
  JS

  Hi GraHal,

  I only translated the code and didn’t participate in anything else, not “Live/Demo”…

  When I start the code in demo I get the same error message (insufficient historical data)…

  What strikes me in the statistics of the positions is that the average time between positions is a negative number (e.g. -8 sec / -30 bars)… I don’t know what to make of that but it’s not right…

  I think I’ve read something about it on the forum…

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  JS

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  07/14/2023 at 3:39 PM #217664
  GraHal

  JS wrote:

  average time between positions is a negative number (e.g. -8 sec / -30 bars)

  Are you getting above from attached in some way that I can’t see?? 🙂

  0 bars is odd though as the Chart is on M10 TF so 30 mins should be 3 bars?

  The Algo is always onmarket. The 30 mins between trades shown on attached is at the start before it takes any trades.

  The really odd thing is that the Algo always gets Rejected at the end of the 1st bar when the Algo likely not even opening a trade (as in attached).

  

  GraHal

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  07/14/2023 at 4:09 PM #217666
  JS

  Hi,

  Below is from a trading system that is “Live”…

  As you can see, the average time between positions is zero seconds…

  This system is also always on the market and alternates between Long and Short…

  

  JS

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  07/14/2023 at 4:19 PM #217668
  GraHal

  GraHal wrote:

  Algo always gets Rejected at the end of the 1st bar when the Algo likely not even opening a trade

  Hahaha after typing above, I thought … sooo what if the System did open a trade at the end of the 1st bar?

  I added below at top of the code and the System did not get Rejected either on Demo or on Live!!

  Success at last!!!!!  I’ll sleep better tonight!!!

  Thank You JS for cross-fertilising thoughts and ideas!

  Onwards & Upwards!!!!

  If not onmarket Then Buy at Market Endif

  1 2 3

  If  not onmarket Then Buy at Market Endif

   

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  GraHal

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  07/14/2023 at 4:48 PM #217670
  JS

  Hi,

  Nice that it’s been fixed…

  I think the problems arise when in a trading system the positions go from long to short at once and vice versa… instead of closing the current position and then reversing…

  I have noticed in other systems that if a position is turns directly then the code is not read during the “Open”… So the orders are executed first and only then the code is read…

  You can check this when the size of your position is linked to the “StrategyProfit”,

  When the position turns directly (i.e. immediately from Long to Short or vice versa) then the “StrategyProfit” is not recalculated so the code is not read when the position is rotated directly…

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  JS

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