Qualche settimana fa abbiamo dedicato un articolo al Supertrend. Torniamo sull’argomento con un’altra variante sul tema di cui alleghiamo il listato Powerlanguage compatibile con Multicharts e Tradestation ma facilmente codificabile anche in altri linguaggi. Il codice lo scrissi un paio di anni fa solleticato da Alessandro Aldrovandi che utilizza per il suo trading discrezionale Supertrend e vWap, li mettemmo assieme a scopo didattico formando una nuova “ricetta” battezzata da Alessandro “Supervolume” dove le entrate sono date dal Supertrend e le uscite da vWap cui si aggiunge una uscita in stop profit dopo 5 barre dall’ingresso.

Riportiamo i test effettuati all’epoca (nel 2013) sul Dax30 futures a 60 minuti (dati eSignal) mostrando anche la differenza tra equity line lorda di slippage e commissioni ed equity line netta da 35 € di slippage+commissioni a trade.

Messo su una chart ai giorni nostri da inizio anno il listato avrebbe prodotto circa 20 mila € di profitto anche se con una curva dei profitti un po’ volatile.

Come sempre lo spirito di questi articoli non è di fornire una formula pronta all’uso ma una base di studio e di ricerca per appassionati, neofiti e trader avanzati. Molte sono infatti le migliorie che si possono apportare a questa strategia ma occorre sensibilità ed esperienza…

Buono studio e buon trading!!

[LegacyColorValue = true];

vars:

PriceW(0),

ShareW(0),

Count(0),

VolWAPValue(0),

VolWAPVariance(0),

VolWAPSD(0);

if date > date[1] then begin

PriceW = 0;

ShareW = 0;

Count = –1;

Value1 = 0;

Value2 = 0;

VolWAPValue = 0;

end;

PriceW = PriceW + (AvgPrice * (UpTicks+DownTicks));

ShareW = ShareW + (UpTicks+DownTicks);

Count = Count + 1;

Value3 = 0;

if ShareW > 0 then VolWAPValue = PriceW / ShareW;

For Value1 = 0 To Count Begin

if sharew <> 0 then Value2 = ((UpTicks[Value1]+DownTicks[Value1])/ShareW) * (Square(AvgPrice[Value1]-VolWAPValue));

Value3 = Value3 + Value2;

End;

VolWAPVariance = Value3;

Var: volatilita(0),

prezzomediano(0),

bandaup(0),

bandadn(0),

trend(0),

supertrend(0),

colore(0),

inizio(0);

input: Moltiplicatore(2),

Nm_periodi(75);

volatilita = avgtruerange(Nm_periodi);

prezzomediano = (H + L) / 2;

bandaup = prezzomediano + (moltiplicatore * volatilita);

bandadn = prezzomediano – (moltiplicatore * volatilita);

if inizio = 0 then begin

trend = 1;

inizio = 1;

end;

if trend = 1 and

C < bandadn[1]

then Begin

trend = –1;

bandaup = prezzomediano +

(moltiplicatore * volatilita);

supertrend = bandaup;

end;

if trend = 1 and

C >= bandadn[1] and

bandadn < bandadn[1]

then Begin

bandadn = bandadn[1];

supertrend = bandadn;

end;

if trend = 1 and

C >= bandadn[1] and

bandadn >= bandadn[1]

then

supertrend = bandadn;

if trend =-1 and

close > bandaup[1]

then begin

trend = 1;

bandadn = prezzomediano –

(moltiplicatore * volatilita);

supertrend = bandadn;

end;

if trend =-1 and

close <= bandaup and

bandaup > bandaup[1]

then begin

bandaup = bandaup[1];

supertrend = bandaup;

end;

if trend =-1 and

close <= bandaup and

bandaup <= bandaup[1]

then

supertrend = bandaup;

if T >= sess1firstbartime and T < 2000 then begin

if close > supertrend and C[1] < supertrend[1] and marketposition = 0 then buy next bar at open;

if C < supertrend and C[1] > supertrend[1] and marketposition = 0 then sellshort next bar at open;

if marketposition = 1 and C[1] < VolWAPValue[1] and C < VolWAPValue then sell next bar at open;

if marketposition = –1 and C > VolWAPValue and C[1] > VolWAPValue[1] then buytocover next bar at open;

end;

if barssinceentry >= 5 and openpositionprofit>700 then begin

if marketposition = 1 then sell next bar at entryprice+10 stop;

if marketposition = –1 then buytocover next bar at entryprice–10 stop;

end;

Strategy Performance Summary (dal febbraio 1997 al 25 marzo 2013)
	All Trades	Long Trades	Short Trades
Net Profit	255435,000000001	107389,999999997	148044,999999997
Gross Profit	1126162,49999999	549802,500000005	576360,000000004
Gross Loss	-870727,499999994	-442412,499999997	-428314,999999996
Adjusted Net Profit	183190,633885308	56374,8768348685	96593,0810817751
Adjusted Gross Profit	1083748,76650212	521334,805643055	544728,135556175
Adjusted Gross Loss	-900558,132616811	-464959,928808187	-448135,054474399
Select Net Profit	104699,999999998	72815,0000000078	31885,0000000074
Select Gross Profit	677089,999999993	342832,500000005	334257,500000004
Select Gross Loss	-572389,999999994	-270017,499999997	-302372,499999996
Account Size Required	41662,4999999995	51962,5000000005	30730,0000000006
Return on Account	613,1053105311	206,6682703873	481,7604946306
Return on Initial Capital	255,435	107,39	148,045
Max Strategy Drawdown	-43277,5	-55225	-32622,5
Max Strategy Drawdown (%)	-25,1884873145	-25,4994844514	-17,4235242279
Max Close To Close Drawdown	-41662,4999999995	-51962,5000000005	-30730,0000000006
Max Close To Close Drawdown (%)	-14,4905157667	-23,1029155135	-16,5428509905
Return on Max Strategy Drawdown	5,9022586795	1,9445903124	4,5381255269
Profit Factor	1,2933581402	1,2427372644	1,3456451443
Adjusted Profit Factor	1,203418999	1,1212467427	1,2155445777
Select Profit Factor	1,1829172417	1,2696677067	1,1054494043
Max # Contracts Held	1	1	1
Slippage Paid	108990,000000003	53060,0000000015	55930,0000000017
Commission Paid	0	0	0
Open Position P/L	n/a	n/a	n/a
Annual Rate of Return	15,816062342	6,649390001	9,166672341
Monthly Rate of Return	1,3180051952	0,5541158334	0,7638893617
Buy & Hold Return	150109,511889862	146941,612604263	150109,511889862
Avg Monthly Return	1316,675257732
Monthly Return StdDev	6007,1779950276
Performance Ratios
Upside Potential Ratio	32,6094852404
Sharpe Ratio	0,1640848886
Sortino Ratio	0,218981974
Fouse Ratio	0,0052530839
Calmar Ratio	0,0088757168
Sterling Ratio	0,0019706488
Net Profit as % of Largest loss	3544,0166493236
Net Profit as % of Max Trade Drawdown	2911,7697349672
Net Profit as % of Max Strategy Drawdown	590,2258679452
Select Net Profit as % of Largest loss	1452,6534859521
Select Net Profit as % of Max Trade Drawdown	1193,5024223425
Select Net Profit as % of Max Strategy Drawdown	241,9270983768
Adj Net Profit as % of Largest loss	2541,6667899453
Adj Net Profit as % of Max Trade Drawdown	2088,2374908556
Adj Net Profit as % of Max Strategy Drawdown	423,2930134257
Time Analysis
Trading Period	16 Yrs, 2 Mths, 10 Dys, 22 Hrs
Time in the Market	7 Yrs, 3 Mths, 22 Dys, 21 Hrs
Percent in the Market	45,1248110529
Longest flat period	22 Dys, 23 Hrs
Max Run-up Date	22/07/98
Max Drawdown Date	09/10/08
Max Strategy Drawdown Date	28/03/09
Max Close To Close Drawdown Date	27/03/09