SuperTrend vs. anaSuperTrend?

[timmbbo]

Researching the SuperTrend indicator, there seems to be two versions of this - the SuperTrend, and the anaSuperTrend. Does anyone know the difference between the two? Thanks,

[NinjaTrader_ShawnB]

Hello timmbbo,


Thank you for your post.


As these are 3rd party custom scripts, we don't have information on the functionality of the SuperTrend or anaSuperTrend indicators. I recommend contacting the vendor/developer of the scripts to ask about the functionality and features of them.

[Harry]

The SuperTrend indicator is a trailing stop indicator that draws a bullish or bearish stop line.

In a bear trend the stop value is calculated by adding a multiple of the average true range to the current value of a moving average. The value is then compared to the prior value of the stop line. In case that the new stop value is lower than the prior value of the stop line, the stop line will be lowered to the new stop value. Otherwise the prior value of the stop line will be maintained.

Accordingly In a bull trend the stop value is calculated by subtracting a multiple of the average true range from the current value of a moving average. The value is then compared to the prior value of the stop line. In case that the new stop value is higher than the prior value of the stop line, the stop line will be moved up to the new value. Otherwise the prior value of the stop line will be maintained.


anaSuperTrendM11:

Originally, all indicators have been used with daily data only. Indicator calculations were performed after the daily close and positions were then entered or exited accordingly. With the advent of online trading, trading decisions can be also made intra-bar and not only after the bar has closed. These new possibilities require a modification of a few indicators.

One of them is the ATR. If you calculate the ATR by including the last unfinished bar, the ATR will be systematically skewed to the downside. This is because incomplete bars typically have a smaller range than complete bars, as volatility depends on time, number of contracts of whatever bar type is chosen. Therefore it should be avoided to include the current bar with the ATR calculation and rather take the value one bar ago.
Also take into accout the range of the current bar produces a stop line closer to price action which then moves away when the current bar approaches it and finally matches the previous stop. This is completely unnecessary and only creates CPU load and no further advantage. The stop line should therefore be calculated from the indicator values 1 bar ago, and not including the current bar!

The second change is that the anaSuperTrendM11 has the moving average replaced with a median. The changes can be easily remembered, if you use the suffix of the indicator as a guide:

M = uses median instead of SMA or EMA
1 = calculates the median one bar ago
1 = calculates the average true range one bar ago

The result is a more CPU efficient indicator, which does not use a skewed true range when applied intra-bar and which does not suffer from a stop line that moves around. The indicator also has the option to trigger signals intra-bar instead of waiting until the bar close.


anaSuperTrendU11 (Universal):

This is a more versatile version of the anaSuperTrendM11 which allows to replace both median and average true range with other indicators:

-> you may replace the median with any of 28 moving averages
-> you may replace the average true range with the average range or the standard deviation


Both indicators can be found here:

http://lizardtrader.com/fat-tails-indicators/ (please scroll down)

Registration is free. The indicators are available open source.