coding a strat using supertrend

coding a strat using supertrend

ivanf
2017-04-13 08:10:22

Hi,

this might be a dumb question....however

I'm wanting to use the indicator "supetrend" in a strategy ( https://www.quantshare.com/item-1038-supertrend-indicator)

Basically I'm using an external symbol XJO as a marketiming input, if the index is above it's supertrend then its ok to go long on stocks

However, I'm a bit confused (newbie) on how to calc the supertrend of this external symbol , since I don't know how to incorporate the symbol into the formula

ie how do I calc the supertrend of XAO when the supertrend indicator doesn't take a symbol input ?

This is what I started to code but I know its not right . I want to calc the supertend of XJO and also the supertrend of individual stocks before I buy

stLenMT=10;
stFactMT=3;
stLen=10;
stFact=3;

// marketiming based on XAO holding above its supertrend

MTindex =GetSeries('XAO', Close);

MTbuy= MTindex > supertrend(stLenMT, stFactMT);

// buy when stocks cross up thru their own supertrend and overall marketiming is a buy

buy = cross(close, supertrend(stLen, stFact)) and MTBuy ;

thanks for any help
Ivan

QuantShare
2017-04-14 04:16:18

This indicator cannot be used to calculate other symbol supertrend. You need to update the C# formula of the "supertrend" indicator, add a new parameter (that takes the close series for example) and use that series instead of the "close" series of the analyzed security.

ivanf
2017-04-14 05:00:07

thanks for the reply. To implement your suggestion is that easy to do ? The supertrend indicator references a function , which is copied below. Are you able to show me how to "hardcode" for symbol XJO.AX ?

VectorD volaValue = TA.Atr(Period);
VectorD avgValue = TA.MedPrice();

VectorD upperValue = cFunctions.CreateNumericVector();
VectorD lowerValue = cFunctions.CreateNumericVector();
VectorD trendFlag = cFunctions.CreateNumericVector();
VectorD flagValue1 = cFunctions.CreateNumericVector();
VectorD flagValue2 = cFunctions.CreateNumericVector();
VectorD close = cFunctions.Close;
double lastTrendValue = 0;

for(int i=1;i < result.Length;i++)
{
upperValue[i] = avgValue[i] + ( Factor[i] * volaValue[i] );
lowerValue[i] = avgValue[i] - ( Factor[i] * volaValue[i] );

if(i == 0)
{
continue;
}

if(close[i] > upperValue[i - 1])
{
lastTrendValue = 1;
}

if(close[i] < lowerValue[i - 1])
{
lastTrendValue = -1;
}

trendFlag[i] = lastTrendValue;

if(trendFlag[i] < 0 && trendFlag[i - 1] > 0)
{
flagValue1[i] = 1;
}
else
{
flagValue1[i] = 0;
}

if(trendFlag[i] > 0 && trendFlag[i - 1] < 0)
{
flagValue2[i] = 1;
}
else
{
flagValue2[i] = 0;
}

if(trendFlag[i] > 0 && lowerValue[i] < lowerValue[i - 1])
{
lowerValue[i] = lowerValue[i - 1];
}

if(trendFlag[i] < 0 && upperValue[i] > upperValue[i - 1])
{
upperValue[i] = upperValue[i - 1];
}

if(flagValue1[i] == 1)
{
upperValue[i] = avgValue[i] + ( Factor[i] * volaValue[i] );
}

if(flagValue2[i] == 1)
{
lowerValue[i] = avgValue[i] - ( Factor[i] * volaValue[i] );
}

if(trendFlag[i] == 1)
{
result[i] = lowerValue[i];
}
else
{
result[i] = upperValue[i];
}
}

result[0] = double.NaN;

QuantShare
2017-04-15 04:53:44

You need to create three parameters in the function to pass the close, high and low of the security you want to analyze (using GetSeries function)

After that, you need to change the script and update the following three lines:
VectorD volaValue = TA.Atr(Period);
VectorD avgValue = TA.MedPrice();

VectorD close = cFunctions.Close;

with something like this:
VectorD volaValue = TA.Atr(high, low, close Period);
VectorD avgValue = TA.MedPrice(high, low);

VectorD close = close;

where close, high and low are the name of the parameters that you need to add to the function.

ivanf
2017-04-17 22:28:33

ok thanks for the info, I will have a crack at it , not sure how it will go given my coding skills

ivanf
2017-04-22 22:25:47

Hi there again,

edits were done as you suggested , but I've hit an error . Please see here
https://www.dropbox.com/s/xc8zwf58ys9gja2/2017-04-23_11-43-22.png?dl=0

appears to not like the statement
VectorD close = close;

Also, its not clear to me how I actually ''hardcode'' the symbol into this ? I guess I create a param to input the symbol string, but not sure what to do with it after that

Any help would be appreciated.

thanks
Ivan

QuantShare
2017-04-24 04:22:37

You should give it another name.

VectorD close = close1; // where "close1" is the name of one parameter

Since you are passing the close, open, high and low of a specific security, there is no need to pass the symbol name.
For the "close1" parameter for example, you should pass in QS language: Getseries("GOOG", close)

ivanf
2017-04-27 02:21:41

looks like I have success now !

thanks for your help

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