Combined Supertrend : filtre de tendance journalier à trois lignes

// ============================================================
// Combined Supertrend
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Trend
// Direction: Long & short
// Timeframe tested: Daily
// ============================================================

// --- Settings ---
DEFPARAM CumulateOrders = false
DEFPARAM PreloadBars = 10000

// --- Parameters ---
positionSize = 1              // contracts per trade
lookbackPeriod = 21           // window for the ATR trend line
atrMultiplier = 3             // ATR multiple for the ATR trend line
pctStopFactor = 0.005         // percentage supertrend distance, as a fraction of close
rsqPeriod = 10                // r-squared window for the adaptive supertrend
rsqMultiplier = 2             // multiplier of the adaptive supertrend
rsqCentre = 0.25              // r-squared value where the adaptive length equals rsqPeriod
exitStFactor = 3              // multiplier of the standard supertrend used in exits
exitStPeriod = 5              // length of the standard supertrend used in exits
minGapPoints = 7              // trend lines must be at least this far apart to trade

ONCE pctDirection = 1                 // percentage supertrend starts in up mode
ONCE prevStopLong = 0                 // previous long stop of the percentage supertrend
ONCE prevStopShort = 1000000000000    // previous short stop, seeded very high

// --- Indicators ---
// Line one: ATR trend line, the channel extreme minus or plus a weighted ATR band.
weightedAtr = WeightedAverage[lookbackPeriod](AverageTrueRange[1](close))
recentHigh = Highest[lookbackPeriod](high)
recentLow = Lowest[lookbackPeriod](low)
upperLimit = recentHigh[1]-(weightedAtr[1]*atrMultiplier)
lowerLimit = recentLow[1]+(weightedAtr[1]*atrMultiplier)

IF (close > upperLimit AND close > lowerLimit) THEN
  atrTrendLine = upperLimit
ELSIF (close < lowerLimit AND close < upperLimit) THEN
  atrTrendLine = lowerLimit
ELSE
  atrTrendLine = atrTrendLine[1]
ENDIF

// Line two: simplified percentage supertrend around the median price.
pctDistance = close * pctStopFactor
pctStopLong = MedianPrice - pctDistance
pctStopShort = MedianPrice + pctDistance

IF pctDirection = 1 AND pctStopLong < prevStopLong THEN
  pctStopLong = prevStopLong
ENDIF
IF pctDirection = -1 AND pctStopShort > prevStopShort THEN
  pctStopShort = prevStopShort
ENDIF
IF pctDirection = 1 AND close < pctStopLong THEN
  pctDirection = -1
ENDIF
IF pctDirection = -1 AND close > pctStopShort THEN
  pctDirection = 1
ENDIF

prevStopLong = pctStopLong
prevStopShort = pctStopShort

IF pctDirection = 1 THEN
  pctTrendLine = pctStopLong
ELSE
  pctTrendLine = pctStopShort
ENDIF

// Line three: supertrend whose length adapts to the r-squared of recent closes.
sourcePrice = CustomClose
sumX = 0
sumXX = 0
sumXY = 0
sumYY = 0
sumY = 0

IF BarIndex > rsqPeriod THEN
  FOR k = 0 TO rsqPeriod-1 DO
    barPrice = sourcePrice[k]
    sumX = sumX+(k+1)
    sumXX = sumXX+((k+1)*(k+1))
    sumXY = sumXY+((k+1)*barPrice)
    sumYY = sumYY+(barPrice*barPrice)
    sumY = sumY+barPrice
  NEXT

  covarianceXY = sumXY - sumX*sumY/rsqPeriod
  varianceX = sumXX - sumX*sumX/rsqPeriod
  varianceY = sumYY - sumY*sumY/rsqPeriod

  rSquared = ((covarianceXY*covarianceXY)/(varianceX*varianceY))
  adaptiveSt = Supertrend[rsqMultiplier,round(rsqPeriod+rsqPeriod*(rSquared-rsqCentre))]
ENDIF

exitSt = Supertrend[exitStFactor,exitStPeriod]
gapMargin = minGapPoints*PointSize