SuperTrend M11

This is the predecessor to the Supertrend U11 (Universal), which allows you to calculate the stop line from median, mode and 27 other moving averages. The SuperTrend indicator is an application of the concept of MAE (maximum adverse excursion), which was introduced by John Sweeney in the mid-nineties. A post discussing different approaches for using the SuperTrend indicator was discussed in our Indicator Spotlight Newsletter (with video).

Supertrend M11

Indicator Description

Please note that this is the predecessor to the Supertrend U11 (Universal). The U11 version allows you to calculate the stop line from median, mode and 30 other moving averages. The NinjaTrader SuperTrend indicator is a trailing stop and adjusts to both trading prices and volatility. When volatility is high, the trailing stop is further away from prices. Conversely, when volatility is low, the trailing stop will move closer to prices.

One may compare the internal mechanics of the SuperTrend indicator to the Chandelier Stop. However, a long trail stop  is not set from the highest high, but from the median and the average true range of one bar ago. Both values are calculated for the last bar, as the trail stop level should not adjust for the current bar. The SuperTrend indicator does not recalculate the stop value with every incoming tick, optimizing the CPU load. Furthermore, the Supertrend indicator allows you to choose whether to switch the trend intra-bar, or at the bar close.

Breaking the stop line

When the stopline is broken, the NinjaTrader SuperTrend indicator changes direction. There are two options for breaking the stop line: Intrabar or bar close above/below the stop line. To avoid whipsaws, the latter option is set as default.

Other than as a trailing stop, one may use the SuperTrend indicator as a trend filter. You may display the trend as paint bars, or expose it via the public property in an automated strategy and/or with another indicator. However, you should not use the NinjaTrader SuperTrend indicator for entries, unless the market is known to be in a clear trend. This is because entry signals typically come with a delay.

Other Library Indicators

Other than the SuperTrend M11 the following indicators are available from the trailing stop loss category: ATR Trailing Stop, Chande Kroll Stop, Chandelier Stop, Deviation Stop, HiLo Activator and the SuperTrend U11. Previous Indicator Spotlights have also reviewed the ATR Trailing Stop, the Chande Kroll Stop and the Wilders Volatility Stop.

The NinjaTrader SuperTrend indicator is available for NinjaTrader 8.