To summarize, using smaller parameters may have an advantage over using the default Supertrend parameters of 10,3 as it can give you more timely entries and exits, and using RSI 7 followed by Supertrend 5,1.

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Click on the button below to download a Free 7-day trial of Investar:. RSI is commonly used with levels of 30 and Exit would be when you get the confirmation when the supertrend closes above or below the price after the RSI signal. Are the parameters correct according to you? In general, when you decrease the parameters for any indicator, you get faster and more signals and hence more whipsaws. This post describes a way to get the benefit of the faster signals and reducing the whipsaws with the RSI indicator.

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Tags: buy sell signal , Supertrend , supertrend indicator. Investar 5. However, exit signal is met, the hypothetical exit order is placed on the open price of the next candle. Candle Interval 1 minute runs checks for signals on min candles with a maximum allowed window of 30 days 3 minute to 30 minutes checks for signals respective candles based on data availability with a maximum allowed window of 90 days.

Position allows users to define the entry type i. Quantity states the number of equity share or future lots to be used by the strategy. Important Given trade time is only inclusive of candle close time.

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Info Backtest is run keeping intraday orders MIS as default. Note Streak has made it simple for you, usually the process of coding a similar strategy on traditional platforms would have taken about 2 hours depending on your coding skills and data availability. I have optimized the strategy by managing the position size through a weightage of 1 unit for MACD and 2 units for SuperTrend. I expect that the MACD will provide quick entry and exit positions. When used with SuperTrend, it will provide more clarity to run the trend.

There is no stock-specific criterion for using this strategy. However, for any strategy to work efficiently, liquid stocks are preferred. Hence, the focus of this strategy is on Nifty 50 stocks. I have backtested this strategy on a daily time frame working off the daily data downloaded from Yahoo. I have tested my strategy from the year onwards. Obviously, some of the stocks I have used did not have data from That is a known caveat, with which I backtested my trend following indicators strategy. As there is no readily available method to calculate SuperTrend price points, I have coded the method and used the same in the program.

Trending of stocks will be decided based on ADX. The moment ADX moves below the threshold, all the open positions will be closed when the market opens the next day. I created a method to calculate the SuperTrend indicator.

Strategy Using Trend-Following Indicators: MACD, ST And ADX [EPAT PROJECT]

One can optimize this further by passing the data in an array. However, for simplicity purpose, I am passing each record to identify the upper band, lower band, and the supertrend. If the period decided for backtesting is very much in the past, there is a chance that some stocks might not have been traded in the market during that time frame.

This is a known caveat.

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The following Python codes get the latest Nifty50 list from nseindia. For this, I have made a small adjustment programmatically. If there is a huge variance in the daily return - say the variance is less than 0.

The following Python codes get the technical indicators data into a data frame for further processing. I have used the following code to get that into the data frame. To identify the crossover, I have prepared the data frame with previous periods data for each day's trading data - 2 periods data needed the trend indicators, for MACD and ST to avoid back-testing bias.

For ADX, previous day's data is enough. I have posted detailed inline comments, followed by the for loop code. ADX indicator provides an important data point for the strategy to determine whether the stock is trending.

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The moment ADX drops below the threshold all open positions will be closed. Two indicators have been used in the strategy. When there is no crossover, the signal is set to '0', but strategy variable is used to decide whether to continue the trade or close the trade no matter buy or sell. This strategy variable is set to continue the same value from the previous day when the ADX is above the threshold trending.

If not trending, the strategy value is set to 0, thus giving a complete signal to close all the open trades. To calculate the daily return for MACD crossover and ST crossover separately - Based on the analysis and to get near-to-accurate returns, I have used 'Adjusted Close' and 'Close' data alternatively based on the daily activity.