2.8 KiB
SUPER: SuperTrend
"It's not an indicator; it's a trailing stop with a marketing budget. Perfect for traders who want to catch the trend but lack the emotional discipline to hold on."
SuperTrend is a trend-following indicator that overlays the price chart. It uses the Average True Range (ATR) to calculate upper and lower volatility bands, switching between them based on the direction of the closing price. It effectively functions as a trailing stop-loss that adapts to market volatility.
Historical Context
Created by Olivier Seban. It gained massive popularity in the retail trading community for its visual simplicity: Green line = Buy, Red line = Sell. It combines the volatility measurement of Wilder's ATR with a simple breakout logic.
Architecture & Physics
SuperTrend is a state machine. It maintains two theoretical bands (Upper and Lower) and a boolean state (IsBullish).
The Ratchet Mechanism
The bands act as a ratchet:
- Bullish Mode: The Lower Band (Stop Loss) can only move up. If the calculated Lower Band drops, the indicator ignores it and keeps the previous value.
- Bearish Mode: The Upper Band (Stop Loss) can only move down.
The trend flips when the Close price crosses the active band.
Mathematical Foundation
1. Basic Bands
Upper_{basic} = \frac{High + Low}{2} + (Multiplier \times ATR)
Lower_{basic} = \frac{High + Low}{2} - (Multiplier \times ATR)
2. Ratchet Logic (Bullish Example)
Lower_{final} = \begin{cases} Lower_{basic} & \text{if } Lower_{basic} > Lower_{prev} \text{ or } Close_{prev} < Lower_{prev} \\ Lower_{prev} & \text{otherwise} \end{cases}
3. Trend Logic
SuperTrend = \begin{cases} Lower_{final} & \text{if Bullish} \\ Upper_{final} & \text{if Bearish} \end{cases}
Performance Profile
Zero-Allocation Design
The Super class maintains its state in a struct, ensuring zero heap allocations during the Update cycle. The ATR calculation is embedded to avoid the overhead of a separate object.
| Metric | Score | Notes |
|---|---|---|
| Throughput | High | O(1) updates |
| Complexity | O(1) | Constant time update |
| Accuracy | 8/10 | Excellent trend direction filter |
| Timeliness | 7/10 | Lags due to ATR component |
| Overshoot | 9/10 | Very stable, resists whipsaws |
| Smoothness | 8/10 | Step-function output filters noise |
Validation
Validated against Skender.Stock.Indicators and Pandas-TA.
Common Pitfalls
- Repainting: SuperTrend does not repaint historical values, but the current bar's value can flip back and forth until the Close is finalized.
- Whipsaws: In ranging markets, SuperTrend will generate frequent false signals, buying the top and selling the bottom. It requires a trend filter (like ADX).
- ATR Warmup: The indicator requires
Nbars to stabilize the ATR before the bands become accurate.