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Combination of Supertrend with EMA Crossover

Hi All,

Is there a way to device an algo which kind of combines the Supertrend(7,2) signal buy/sell with subsequently EMA(5,21,55) crossover?

Is there a way to code such an algo.

Suggestions will be highly appreciated

6 responses

Hi Varun,

It is possible to write a moving average crossover strategy using Quantopian, but it will be hard to make it conform to our contest rules. The Quantopian contest encourages people to write algorithms that assign a number to each asset in a trading universe, every day. We call the algorithms that produce these numbers "alpha factors" and the more predictive the alpha factor is (as in, assets with a high alpha factor value tend to go up more, and assets with a low alpha factor value go down more), the more profitable your trading strategy will be.

I highly recommend working through the getting started tutorial to learn how to create alpha factors, and write trading strategies around those alpha factors. One of our lectures, titled: "Long-Short Equity" does a good job describing the kind of algorithm that Quantopian encourages people to write.

Should you decide to continue writing algorithms that use moving average crossovers, I recommend looking at this lesson in the Pipeline tutorial that shows how to build custom factors. You could create a custom factor that returns whether or not a given asset has experienced a moving average crossover within the past 5 days, and then use that to raise (or lower) the alpha factor score being generated by the other factors in your pipeline.

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Hi Varun,

Here is a customfactor I've been using for Supertrend:

def columnwise_anynan(array2d):  
    return np.isnan(array2d).any(axis=0)

def Final_UpperBand(BUB, C):  
    FUB = np.zeros(len(BUB))  
    FUB[0] = BUB[0]  
    for i in range(1, len(BUB)):  
        if (BUB[i] < FUB[i-1]) or (C[i-1] > FUB[i-1]):  
            FUB[i] = BUB[i]  
        else:  
            FUB[i] = FUB[i-1]  
    return FUB  
def Final_LowerBand(BLB, C):  
    FLB = np.zeros(len(BLB))  
    FLB[0] = BLB[0]  
    for i in range(1, len(BLB)):  
        if (BLB[i] > FLB[i-1]) or (C[i-1] < FLB[i-1]):  
            FLB[i] = BLB[i]  
        else:  
            FLB[i] = FLB[i-1]  
    return FLB  
def SPR_T(FUB, FLB, C, period):  
    ST = np.zeros(len(FUB))  
    ST[0] = FUB[0]  
    for i in range(1, len(FLB)):  
        if (ST[i-1] == FUB[i-1]) and (C[i] < FUB[i]):  
            ST[i] = FUB[i]  
        elif (ST[i-1] == FUB[i-1]) and (C[i] > FUB[i]):  
            ST[i] = FLB[i]  
        elif (ST[i-1] == FLB[i-1]) and (C[i] > FLB[i]):  
            ST[i] = FLB[i]  
        elif (ST[i-1] == FLB[i-1]) and (C[i] < FLB[i]):  
            ST[i] = FUB[i]  
    return ST  
class Super_Trend(CustomFactor):  
    inputs = [USEquityPricing.high, USEquityPricing.low, USEquityPricing.close]  
    def compute(self, today, assets, out, high, low, close):  
        multiplier = 3.  
        period = 10  
        anynan = columnwise_anynan(close)  
        for col_ix, have_nans in enumerate(anynan):  
            if have_nans:  
                out[col_ix] = np.nan  
                continue  
            N = self.window_length  
            H = high[:,col_ix]  
            L = low[:,col_ix]  
            C = close[:,col_ix]

            MP = (H+L)/2  
            ATR = talib.ATR(H,L,C,timeperiod=period)  
            ATR = np.nan_to_num(ATR)  
            BASIC_UPPERBAND = MP + multiplier * ATR  
            BASIC_LOWERBAND = MP - multiplier * ATR  
            FINAL_UPPERBAND = Final_UpperBand(BASIC_UPPERBAND, C)  
            FINAL_LOWERBAND = Final_LowerBand(BASIC_LOWERBAND, C)  
            SUPER_TREND = SPR_T(FINAL_UPPERBAND, FINAL_LOWERBAND, C, period)

            out[col_ix] = SUPER_TREND[-1]  

Hi Mathieu,

Thanks a lot for the supertrend algo!

Hi Vladimir,

Thanks a lot for the algo !!!

Does the Supertrend have a combination with the EMA crossovers?

Could you please elaborate on the same?

Does the Supertrend have a combination with the EMA crossovers?
Yes
The algo takes bullish position when stock price is above Supertrend and EMA(21) > EMA(55)

 if ((P > SAR) and (EMA2 > EMA3)):  

It takes bearish position when stock price is belowe Supertrend and EMA(5) < EMA(21)

elif ((P < SAR) and (EMA1 < EMA2)):  

Copy my code, paste it to IDE and Run Full Backtest from 06/01/2007 to 01/04/2019 on $100000 initial capital.

Good Luck.

Thanks, Vladimir once again!

Much Appreciated!!