Periods since close below Supertrend

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  • 08/13/2019 at 11:34 AM #104664 quote
    Damian Lee
    Participant
    New

    Hi

    Looking to try and code to return number of periods since when the close crosses above (or below) the supertend, and then note the last value of the supertrend prior to the close crossing it. I can see the barindex and tradeindex but don’t know how to refer to any other condition.

    Thanks in advance 🙂

    08/13/2019 at 11:59 AM #104667 quote
    robertogozzi
    Moderator
    Master

    I moved your topic to ProOrder support, since you are referencing TRADEINDEX which is related to strategies.

    This is the code:

    ONCE CrossOVER  = 0
ONCE CrossUNDER = 0
ONCE PrevClose  = 0
MyST = Supertrend[3,10]
IF CrossUNDER = 0 THEN
   IF close CROSSES UNDER MyST THEN
      PrevClose  = close[1]
      CrossUNDER = BarIndex
      CrossOVER  = 0
   ENDIF
ENDIF
IF CrossOVER = 0 THEN
   IF close CROSSES OVER MyST THEN
      PrevClose  = close[1]
      CrossUNDER = 0
      CrossOVER  = BarIndex
   ENDIF
ENDIF

    Basically you have to keep track of the bar when the crossing occurs and, at the same time, save the value of the CLOSE prior to the crossing.

    Clear all values and flags when a reverse crossing occurs.

    At the end of the code, PREVCLOSE, if other than 0, will retaing the CLOSing price the candle before the crossing occurs.

    To tell how many bars have elapsed, in case CROSSOVER/UNDER > 0, just use the expression:

    ElapsedBars = (BarIndex - CrossOver)  + 1
ElapsedBars = (BarIndex - CrossUnder) + 1
    08/13/2019 at 1:02 PM #104670 quote
    Damian Lee
    Participant
    New

    Thank heaps for that.  Sooo much appreciated

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Periods since close below Supertrend


ProOrder: Automated Strategies & Backtesting

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Damian Lee @damian_lee Participant
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This topic contains 2 replies,
has 2 voices, and was last updated by Damian Lee
6 years, 6 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 08/13/2019
Status: Active
Attachments: No files
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