JavaScript version SuperTrend strategy
FMZ Quant8 min read
There are many versions of the SuperTrend indicator on the TV. I found a relatively easy-to-understand algorithm and transplanted it. Compared with the SuperTrend indicator loaded on the TV chart of FMZ trading platform backtest system, I found a slight difference and did not understand the reason for the causes, I'm looking forward to the guidance of our readers. I will first show my understanding as follow.
SuperTrend indicator JavaScript version algorithm
// VIA: https://github.com/freqtrade/freqtrade-strategies/issues/30
function SuperTrend(r, period, multiplier) {
// atr
var atr = talib.ATR(r, period)
// baseUp , baseDown
var baseUp = []
var baseDown = []
for (var i = 0; i < r.length; i++) {
if (isNaN(atr[i])) {
baseUp.push(NaN)
baseDown.push(NaN)
continue
}
baseUp.push((r[i].High + r[i].Low) / 2 + multiplier * atr[i])
baseDown.push((r[i].High + r[i].Low) / 2 - multiplier * atr[i])
}
// fiUp , fiDown
var fiUp = []
var fiDown = []
var prevFiUp = 0
var prevFiDown = 0
for (var i = 0; i < r.length; i++) {
if (isNaN(baseUp[i])) {
fiUp.push(NaN)
} else {
fiUp.push(baseUp[i] < prevFiUp || r[i - 1].Close > prevFiUp ? baseUp[i] : prevFiUp)
prevFiUp = fiUp[i]
}
if (isNaN(baseDown[i])) {
fiDown.push(NaN)
} else {
fiDown.push(baseDown[i] > prevFiDown || r[i - 1].Close < prevFiDown ? baseDown[i] : prevFiDown)
prevFiDown = fiDown[i]
}
}
var st = []
var prevSt = NaN
for (var i = 0; i < r.length; i++) {
if (i < period) {
st.push(NaN)
continue
}
var nowSt = 0
if (((isNaN(prevSt) && isNaN(fiUp[i - 1])) || prevSt == fiUp[i - 1]) && r[i].Close <= fiUp[i]) {
nowSt = fiUp[i]
} else if (((isNaN(prevSt) && isNaN(fiUp[i - 1])) || prevSt == fiUp[i - 1]) && r[i].Close > fiUp[i]) {
nowSt = fiDown[i]
} else if (((isNaN(prevSt) && isNaN(fiDown[i - 1])) || prevSt == fiDown[i - 1]) && r[i].Close >= fiDown[i]) {
nowSt = fiDown[i]
} else if (((isNaN(prevSt) && isNaN(fiDown[i - 1])) || prevSt == fiDown[i - 1]) && r[i].Close < fiDown[i]) {
nowSt = fiUp[i]
}
st.push(nowSt)
prevSt = st[i]
}
var up = []
var down = []
for (var i = 0; i < r.length; i++) {
if (isNaN(st[i])) {
up.push(st[i])
down.push(st[i])
}
if (r[i].Close < st[i]) {
down.push(st[i])
up.push(NaN)
} else {
down.push(NaN)
up.push(st[i])
}
}
return [up, down]
}
// The main function for testing indicators is not a trading strategy
function main() {
while (1) {
var r = _C(exchange.GetRecords)
var st = SuperTrend(r, 10, 3)
$.PlotRecords(r, "K")
$.PlotLine("L", st[0][st[0].length - 2], r[r.length - 2].Time)
$.PlotLine("S", st[1][st[1].length - 2], r[r.length - 2].Time)
Sleep(2000)
}
}
Test code backtest comparison:
A simple strategy using SuperTrend indicator
The trading logic part is relatively simple, that is, when the short trend turns into a long trend, long positions are opened.
Open a short position when the long trend turns into a short trend.
Strategy parameters:
SuperTrend trading strategy
/*backtest
start: 2019-08-01 00:00:00
end: 2020-03-11 00:00:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_OKCoin","currency":"BTC_USD"}]
*/
// Global variables
var OpenAmount = 0 // The number of open positions after opening
var KeepAmount = 0 // Reserved position
var IDLE = 0
var LONG = 1
var SHORT = 2
var COVERLONG = 3
var COVERSHORT = 4
var COVERLONG_PART = 5
var COVERSHORT_PART = 6
var OPENLONG = 7
var OPENSHORT = 8
var State = IDLE
// Trading logic part
function GetPosition(posType) {
var positions = _C(exchange.GetPosition)
/*
if(positions.length > 1){
throw "positions error:" + JSON.stringify(positions)
}
*/
var count = 0
for(var j = 0; j < positions.length; j++){
if(positions[j].ContractType == Symbol){
count++
}
}
if(count > 1){
throw "positions error:" + JSON.stringify(positions)
}
for (var i = 0; i < positions.length; i++) {
if (positions[i].ContractType == Symbol && positions[i].Type === posType) {
return [positions[i].Price, positions[i].Amount];
}
}
Sleep(TradeInterval);
return [0, 0]
}
function CancelPendingOrders() {
while (true) {
var orders = _C(exchange.GetOrders)
for (var i = 0; i < orders.length; i++) {
exchange.CancelOrder(orders[i].Id);
Sleep(TradeInterval);
}
if (orders.length === 0) {
break;
}
}
}
function Trade(Type, Price, Amount, CurrPos, OnePriceTick){ // Processing transactions
if(Type == OPENLONG || Type == OPENSHORT){ // Handling open positions
exchange.SetDirection(Type == OPENLONG ? "buy" : "sell")
var pfnOpen = Type == OPENLONG ? exchange.Buy : exchange.Sell
var idOpen = pfnOpen(Price, Amount, CurrPos, OnePriceTick, Type)
Sleep(TradeInterval)
if(idOpen) {
exchange.CancelOrder(idOpen)
} else {
CancelPendingOrders()
}
} else if(Type == COVERLONG || Type == COVERSHORT){ // Deal with closing positions
exchange.SetDirection(Type == COVERLONG ? "closebuy" : "closesell")
var pfnCover = Type == COVERLONG ? exchange.Sell : exchange.Buy
var idCover = pfnCover(Price, Amount, CurrPos, OnePriceTick, Type)
Sleep(TradeInterval)
if(idCover){
exchange.CancelOrder(idCover)
} else {
CancelPendingOrders()
}
} else {
throw "Type error:" + Type
}
}
function SuperTrend(r, period, multiplier) {
// atr
var atr = talib.ATR(r, period)
// baseUp , baseDown
var baseUp = []
var baseDown = []
for (var i = 0; i < r.length; i++) {
if (isNaN(atr[i])) {
baseUp.push(NaN)
baseDown.push(NaN)
continue
}
baseUp.push((r[i].High + r[i].Low) / 2 + multiplier * atr[i])
baseDown.push((r[i].High + r[i].Low) / 2 - multiplier * atr[i])
}
// fiUp , fiDown
var fiUp = []
var fiDown = []
var prevFiUp = 0
var prevFiDown = 0
for (var i = 0; i < r.length; i++) {
if (isNaN(baseUp[i])) {
fiUp.push(NaN)
} else {
fiUp.push(baseUp[i] < prevFiUp || r[i - 1].Close > prevFiUp ? baseUp[i] : prevFiUp)
prevFiUp = fiUp[i]
}
if (isNaN(baseDown[i])) {
fiDown.push(NaN)
} else {
fiDown.push(baseDown[i] > prevFiDown || r[i - 1].Close < prevFiDown ? baseDown[i] : prevFiDown)
prevFiDown = fiDown[i]
}
}
var st = []
var prevSt = NaN
for (var i = 0; i < r.length; i++) {
if (i < period) {
st.push(NaN)
continue
}
var nowSt = 0
if (((isNaN(prevSt) && isNaN(fiUp[i - 1])) || prevSt == fiUp[i - 1]) && r[i].Close <= fiUp[i]) {
nowSt = fiUp[i]
} else if (((isNaN(prevSt) && isNaN(fiUp[i - 1])) || prevSt == fiUp[i - 1]) && r[i].Close > fiUp[i]) {
nowSt = fiDown[i]
} else if (((isNaN(prevSt) && isNaN(fiDown[i - 1])) || prevSt == fiDown[i - 1]) && r[i].Close >= fiDown[i]) {
nowSt = fiDown[i]
} else if (((isNaN(prevSt) && isNaN(fiDown[i - 1])) || prevSt == fiDown[i - 1]) && r[i].Close < fiDown[i]) {
nowSt = fiUp[i]
}
st.push(nowSt)
prevSt = st[i]
}
var up = []
var down = []
for (var i = 0; i < r.length; i++) {
if (isNaN(st[i])) {
up.push(st[i])
down.push(st[i])
}
if (r[i].Close < st[i]) {
down.push(st[i])
up.push(NaN)
} else {
down.push(NaN)
up.push(st[i])
}
}
return [up, down]
}
var preTime = 0
function main() {
exchange.SetContractType(Symbol)
while (1) {
var r = _C(exchange.GetRecords)
var currBar = r[r.length - 1]
if (r.length < pd) {
Sleep(5000)
continue
}
var st = SuperTrend(r, pd, factor)
$.PlotRecords(r, "K")
$.PlotLine("L", st[0][st[0].length - 2], r[r.length - 2].Time)
$.PlotLine("S", st[1][st[1].length - 2], r[r.length - 2].Time)
if(!isNaN(st[0][st[0].length - 2]) && isNaN(st[0][st[0].length - 3])){
if (State == SHORT) {
State = COVERSHORT
} else if(State == IDLE) {
State = OPENLONG
}
}
if(!isNaN(st[1][st[1].length - 2]) && isNaN(st[1][st[1].length - 3])){
if (State == LONG) {
State = COVERLONG
} else if (State == IDLE) {
State = OPENSHORT
}
}
// Execution Signal
var pos = null
var price = null
if(State == OPENLONG){ // Open long positions
pos = GetPosition(PD_LONG) // Check positions
// Determine whether the status is satisfied, if it is satisfied, modify the status
if(pos[1] >= Amount){ // Open positions exceed or equal to the open positions set by the parameters
Sleep(1000)
$.PlotFlag(currBar.Time, "Open long positions", 'OL') // mark
OpenAmount = pos[1] // Record the number of open positions
State = LONG // Mark as long
continue
}
price = currBar.Close - (currBar.Close % PriceTick) + PriceTick * 2 // Calculate the price
Trade(OPENLONG, price, Amount - pos[1], pos, PriceTick) // Placing Order function (Type, Price, Amount, CurrPos, PriceTick)
}
if(State == OPENSHORT){ // Open short position
pos = GetPosition(PD_SHORT) // Check positions
if(pos[1] >= Amount){
Sleep(1000)
$.PlotFlag(currBar.Time, "Open short position", 'OS')
OpenAmount = pos[1]
State = SHORT
continue
}
price = currBar.Close - (currBar.Close % PriceTick) - PriceTick * 2
Trade(OPENSHORT, price, Amount - pos[1], pos, PriceTick)
}
if(State == COVERLONG){ // Handling long positions
pos = GetPosition(PD_LONG) // Get position information
if(pos[1] == 0){ // Determine if the position is 0
$.PlotFlag(currBar.Time, "Close long position", '----CL') // mark
State = IDLE
continue
}
price = currBar.Close - (currBar.Close % PriceTick) - PriceTick * 2
Trade(COVERLONG, price, pos[1], pos, PriceTick)
}
if(State == COVERSHORT){ // Deal with long positions
pos = GetPosition(PD_SHORT)
if(pos[1] == 0){
$.PlotFlag(currBar.Time, "Close short position", '----CS')
State = IDLE
continue
}
price = currBar.Close - (currBar.Close % PriceTick) + PriceTick * 2
Trade(COVERSHORT, price, pos[1], pos, PriceTick)
}
if(State == COVERLONG_PART) { // Partially close long positions
pos = GetPosition(PD_LONG) // Get positions
if(pos[1] <= KeepAmount){ // The position is less than or equal to the holding amount, this time the closing action is completed
$.PlotFlag(currBar.Time, "Close long positions, keep：" + KeepAmount, '----CL') // mark
State = pos[1] == 0 ? IDLE : LONG // update status
continue
}
price = currBar.Close - (currBar.Close % PriceTick) - PriceTick * 2
Trade(COVERLONG, price, pos[1] - KeepAmount, pos, PriceTick)
}
if(State == COVERSHORT_PART){
pos = GetPosition(PD_SHORT)
if(pos[1] <= KeepAmount){
$.PlotFlag(currBar.Time, "Close short positions, keep：" + KeepAmount, '----CS')
State = pos[1] == 0 ? IDLE : SHORT
continue
}
price = currBar.Close - (currBar.Close % PriceTick) + PriceTick * 2
Trade(COVERSHORT, price, pos[1] - KeepAmount, pos, PriceTick)
}
LogStatus(_D())
Sleep(1000)
}
}
Strategy address: https://www.fmz.com/strategy/201837
Backtest performance
Parameter setting, K line period, reference: homily SuperTrend V.1--Super trend line system
The K-line period is set to 15 minutes, and the SuperTrend parameter is set to 45, 3. Backtest the OKX futures quarter contract for the most recent year, and set a contract to trade at a time. Due to the setting to trade only one contract at a time, the utilization rate of funds is very low and you don’t need to care about the Sharpe value.
From: JavaScript version SuperTrend strategy (fmz.com)
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