Super Trend EA?

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garyfritz

Super Trend EA?

Post by garyfritz »

I got intrigued by The_Snowman's comment about using the Super Trend indicator. He noted that when ST changed direction, the market usually pulled back to give you a chance for a better entry.

iarudi (Arjun) proposed an EA based on Super Trend here, but I was curious about a simpler approach.

I hand-backtested two simple ideas on H4 charts, from July 1 to Oct 19:
* When ST reverses, enter the next time the market pulls back behind the DP.
* When ST reverses, enter immediately at the close of the bar that caused ST to reverse.

Both approaches close trades at the close of the bar that causes ST to reverse.
SuperTrend.gif
Entering at the DP sometimes gets you a better entry, but sometimes you miss the entry because the market runs away from you. In this test, the simple "enter on close, exit on close" approach worked the best.

I tested this on 13 pairs: AUDCAD AUDCHF AUDJPY AUDNZD AUDUSD CADJPY CHFJPY EURAUD EURCAD EURGBP EURJPY EURNZD EURUSD. (I got sick of testing after that. :D)

I really didn't expect much out of this. Super Trend-type indicators have been around forever, and hundreds of people have tried to apply simple rules to them. It never works.

But this did.

The market would frequently go sideways and whipsaw the thing to death. But there were many times when a strong trend would kick in, and in most cases that was enough to keep you in profit. Only 3 of the 13 pairs showed a loss for the July-Oct test period.

There was a really nasty sideways/dead period in late July / early August, and it kicked the results in the teeth. But other than that these two simple approaches worked pretty darn well:
SuperTrendEq.gif
Even with the drawdown in Jul/Aug, it averaged about 80 pips per month, per pair. Nothing to take the world by storm. But if you trade 20 or 25 pairs...

Am I fooling myself? From what I can tell, ST doesn't repaint or future-peek or do any other illegal or immoral acts. I *think* you could do this in realtime.

I'm not the EA guy so I didn't try to code this. (Though I might try it in Tradestation.) But for such a simple approach, it seems to work remarkably well, at least in the conditions in the last 3 months. You could almost certainly improve on these results with some good trade management, though the obvious things (BE stops, trailing stops, etc) don't help much because the whipsaws that kill you never get much open equity. But I'd bet it could be improved.
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SteveHopwood
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Re: Super Trend EA?

Post by SteveHopwood »

I will do this Gary. I already have the code in place in the EA that Arjun and I are cooking in the background. I will have it up in time for next week.

:D
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garyfritz

Re: Super Trend EA?

Post by garyfritz »

Should be interesting. I should also come up with a TS translation so I can do a proper backtest. Might also be able to come up with some kind of filter to reduce the drawdowns. E.g. if you hit two whipsaws in a row, stand aside until you get a profitable move, or something simple like that...
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mobthehop
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Re: Super Trend EA?

Post by mobthehop »

Hi guys....

1. Arjun is using the attached supertrend based on median price / ATR - Xaphod wrote a whole lot of indicators for this way of calculations - see attached

2. I am playing with the attached supertrend based on CCI for about 2 weeks now - wait for horizontal line of +/- 4-8 candles (on H1, depending on pair...)... Manual entry I play with:

LONG: red horizontal line / green candle breaks above by min 10 pips, enter,
SHORT: green horizontal line, enter on red candle min 10 pips below green line.....

and it seems to keep you in the trend as the name implies....

Cheers

Mop
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The_Snowman
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Re: Super Trend EA?

Post by The_Snowman »

Thanks for the mention in the first post. I did this today, GBP strong, EUR weak, sell EUR-GBP at London open.

Price below 4H Supertrend, below Daily Pivot, below 30M Supertrend, below Daily Open

I use an EA that I can set an amount of dollars to exit trade(s) so I have none of the usual stress of when to exit, how many pips, where is my Take Profit, none of that, take the money & be happy, I use a percentage of account balance.

The great thing about it is, when you see a pair on the run, just keep selling or buying, change the size of the trades, as long as you have direction right, it exits all trades at the set amount

Screen shows just before exit all trades, worked great, only 0.34 cents more than what I had it set for, so it must do the math real good as there were 5 open trades

:D
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The_Snowman
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Re: Super Trend EA?

Post by The_Snowman »

Actually, I never said that price pullback gives a better entry, I was just pointing out that price usually pulls back and give a second chance to re-enter if you missed it due to being out of your day time etc.

Also, knowing & observing this, it may either keep you in the trade by you not getting scared and taking Break Even exit, or you can enter trade with other confirmation you use.

Here is my set up today, 4H Supertrend seems to be support for EUR-USD during Asian session so far, and now I've posted my sell stop, you can buy with confidence on London open, as I surely have put the HEX on this trade

:evil:
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The_Snowman
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Re: Super Trend EA?

Post by The_Snowman »

there you go, easy as
:lol:
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dashisiong
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Re: Super Trend EA?

Post by dashisiong »

Interested, wonder how it perform it now? Any update?
garyfritz

Re: Super Trend EA?

Post by garyfritz »

See http://www.stevehopwoodforex.com/phpBB3 ... ?f=5&t=911, dashisiong. Steve coded up an EA and it seems to be doing fairly well.
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