[pshaiCmd] SuperTrend Extended

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SuperTrend Extended indicator.

This command version provides inputs for price data, which allows to use this indicator over MACD or RSI data for example.

Input paramaters:
* atrPeriod : ATR period length (for example 22)
* atrMult : ATR multiplier (for example 3)
* [wicks] : Whether to take wicks into account or not (default is false)

Output:
* SuperTrend line values

**NOTE**: The command does not handle any plotting nor does it produce any signals!

Example of usage:

local c = ClosePrices()
local macd = MACD(c, 12, 26, 9)
local macdLine = macd[1]
local st = CC_SuperTrendExt(macdLine, macdLine, macdLine, 22, 3)

-- Plot macd
Plot(1, 'MACD', macdLine)

local upperId = Load('uid', NewGuid())
local lowerId = Load('lid', NewGuid())

if st < macdLine then
    upperId = NewGuid() -- reset upper id
    Plot(1, 'Long Stop', st, {c=Green, id=lowerId})
    -- DoBuy()
else
    lowerId = NewGuid() -- reset lower id
    Plot(1, 'Short Stop', st, {c=Red, id=upperId})
    -- DoSell()
end

Save('uid', upperId)
Save('lid', lowerId)

This topic was modified 6 months ago by pshai. Reason: [UPDATE] Added warmup system

HaasScript Code

DefineCommand('SuperTrendExt', 'SuperTrend indicator (extended) by pshai.')

-- Parameters
local h = DefineParameter(ListNumberType, 'high', 'High prices', true, HighPrices())
local l = DefineParameter(ListNumberType, 'low', 'Low prices', true, LowPrices())
local c = DefineParameter(ListNumberType, 'close', 'Close prices', true, ClosePrices())
local atrPeriod = DefineParameter(NumberType, 'atrPeriod', 'ATR period length', true, 22)
local atrMult = DefineParameter(NumberType, 'atrMult', 'ATR multiplier', true, 3)
local wicks = DefineParameter(NumberType, 'wicks', 'Take wicks into account or not', false, false)

-- Data
local hl = HLPrices()
local atr = ATR(h, l, c, atrPeriod) * atrMult

-- Stuff
local dir = Load('dir', 1)
local result

local run = function(offset)
    if offset == nil then
        offset = 1
    end

    -- Update short side
    if dir == -1 then
        local upper = ArrayGet(hl, offset) + ArrayGet(atr, offset)
        local upperPrev = Load('upper', upper) -- load previous
        local finalUpper = Min(upper, upperPrev) -- take min

        -- if close cuts through upper, we switch to other side
        if (c >= finalUpper) or (wicks and h >= finalUpper) then
            dir = 1
            Save('lower', ArrayGet(hl, offset) - ArrayGet(atr, offset)) -- "reset" lower line
        end

        Save('upper', finalUpper)
        result = finalUpper -- set result

    -- update long side
    elseif dir == 1 then
        local lower = ArrayGet(hl, offset) - ArrayGet(atr, offset)
        local lowerPrev = Load('lower', lower) -- load previous
        local finalLower = Max(lower, lowerPrev) -- take max

        -- if close cuts through lower, we switch to other side
        if c <= finalLower or (wicks and l <= finalLower) then
            dir = -1
            Save('upper', ArrayGet(hl, offset) + ArrayGet(atr, offset)) -- "reset" upper line
        end

        Save('lower', finalLower)
        result = finalLower -- set result
    end
end

-- Warmup
if Load('warmup') == nil then
    LogWarning('Warming up SuperTrend...')

    for i=100, 1, -1 do
        run(i)
    end

    LogWarning('Warmup completed.')

    Save('warmup', false)
else
    run() -- only update current step
end

Save('dir', dir)

DefineOutput(ListNumberType, result, 'SuperTrend output values')

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