Evaluation of Super Trend indicator’s parameters for …

Evaluation of Super Trend indicator’s parameters for major FOREX pairs over 12 years


The Super-Trend indi­ca­tor used in tech­ni­cal chart ana­ly­sis pro­vi­des signals when­ever a rate chan­ge appears that excess an upper or lower bor­der. The bor­ders are defi­ned by the Average-True-Rate of a given past-period-window times a defi­ned multiplier-parameter. The Super-Trend indi­ca­tor is fre­quent­ly used in chart ana­ly­sis like in FOREX tra­ding, but no sys­te­ma­tic and large-scale ana­ly­sis of the para­me­ters influence was available yet.

In this stu­dy, we used real dai­ly rate date of major FOREX pairs of the last 12.5 years and cal­cu­la­ted tra­ding per­for­mance for 9,200 Super-Trend para­me­ter pairs each. A long trade was open when­ever the indi­ca­tor signals an up-trend and clo­sed if a chan­ge to down-trend occur­red and vice ver­sa for short trades.

Our ana­ly­sis reve­a­led that for some cur­ren­cy pairs like EUR/USD a huge para­me­ter ran­ge deli­vers good results, whe­re­as for some mar­kets like  GBP/JPY the para­me­ter ran­ge is quite limi­t­ed. Bey­ond, we pro­vi­de an over­all impres­si­on of Super-Trend’s para­me­ter robust­ness and sug­gest this
metho­do­lo­gy as a frame­work for fur­ther indi­ca­tor eva­lua­tions. In addi­ti­on, we pro­vi­de opti­mal para­me­ters of the Super-Trend indi­ca­tor for major mar­kets on dai­ly basis eva­lua­ted over a time peri­od of more than 12 years for the first time.


Tech­ni­cal chart ana­ly­sis (TA) tri­es to pre­dict future move­ments of finan­cial mar­kets based on chart data (Wiki­pe­dia, Tech­ni­cal Ana­ly­sis, 2011). A cor­ner stone of TA is the use of indi­ca­tors that are sup­po­sed to give rele­vant infor­ma­ti­on of cur­rent and future pri­ce deve­lo­p­ments (Wiki­pe­dia,
Tech­ni­cal Ana­ly­sis, 2011). A multi­tu­de of indi­ca­tors are available, an over­view of basic con­cepts is given for exam­p­le in (Wiki­pe­dia, Tech­ni­cal Ana­ly­sis, 2011) or in the (VTAD Wiki).

Here, we ana­ly­zed the rela­tively new Super-Trend indi­ca­tor as published on mql4.com (Robin­son, 2008) and fur­ther descri­bed for exam­p­le by Kolier (Kolier, 2010). Brief­ly, the indi­ca­tor is a break-out indi­ca­tor which pro­vi­des a signal for an up- or down trend when­ever the break-out bor­der is crossed
by the cur­rent pri­ce. The bor­ders are cal­cu­la­ted by the cur­rent pri­ce plus the Average-True Ran­ge (ATR) (Wil­der, 1978) times a mul­ti­pli­er para­me­ter. The ATR is an avera­ge of the True Ran­ge (Wil­der, 1978) and pro­vi­des a mea­su­re of the vola­ti­li­ty. The­r­e­fo­re, the Super-Trend indi­ca­tor gives a signal if sud­den pri­ce move­ments exceed the expec­ted mar­ket movements.

The Super-Trend indi­ca­tor expe­ri­en­ced an asto­nis­hing attrac­tion with more than a mil­li­on web pages (Goog­le search ‘super trend indi­ca­tor’, 2011/08) alre­a­dy. Howe­ver, alt­hough wide­ly used, no sys­te­ma­tic and no large-scale ana­ly­sis of the Super-Trend indi­ca­tor is available so far. Here, we simu­la­ted tra­ding based on Super-Trend indi­ca­tors’ signals for major FOREX pairs of real dai­ly rates of the last 12.5 years. We eva­lua­ted about 10,000 Super-Trend para­me­ters for 12 major FOREX pairs and pro­vi­de novel insights into the appli­ca­bi­li­ty of the indi­ca­tor as well as best para­me­ter set­ting for the first time.