SuperTrend Logistic Regression

The SuperTrend Logistic Regression indicator combines the classic SuperTrend trend-following tool with a self-training logistic regression model that assigns a probability percentage to every trend flip. It evaluates market conditions across 14 features spanning candle structure, trend context, and technical indicators to output a probability score representing how similar the current setup is to past successful signals.

Usage

The Usage section focuses on interpreting the SuperTrend flips and their associated probability scores. When the SuperTrend changes direction, a label appears at the flip bar with a probability percentage.

• High Probability Signals: If a signal displays a high percentage (e.g., above 60%), the model suggests the current market features closely resemble historical flips that resulted in a profitable outcome on that specific instrument and timeframe.
• Low Probability Signals: A lower percentage indicates that the current setup is statistically similar to past "choppy" or failing flips.
• Filtering: Users can set a "Min Probability %" in the settings. This hides labels for signals that do not meet the user's confidence threshold, allowing for a cleaner chart focused on high-conviction setups.
• Trend Visualization: The SuperTrend line itself uses a gradient-colored fill. The color intensifies as price moves further in the trend direction, providing a visual cue for trend maturity.

Details

The indicator operates using a machine learning approach called logistic regression. Each time a SuperTrend flip occurs, the model records data across several feature categories:

• Candle Features: Measures the body, wicks, range, and volume of the flip candle relative to recent averages. It also uses lower-timeframe 1-minute data to estimate delta volume (net buying vs. selling pressure).
• Trend Features: Analyzes the market leading into the flip, including momentum streaks, pre-flip trend magnitude, ATR slope (volatility expansion), and the distance between price and the SuperTrend line.
• Technical Features: Captures RSI and Bollinger Band position readings at the moment of the flip.

The model trains itself in real-time. A signal is labeled a "win" if price moves in the signal's direction by the time the next opposite flip occurs. The indicator maintains separate models for bullish and bearish directions to capture direction-specific market behaviors. It also employs exponential decay weighting, ensuring that recent market behavior has a higher impact on the model's weights than older, potentially outdated data.

Settings

SuperTrend

• Factor: The ATR multiplier that determines the sensitivity of the SuperTrend line.
• ATR Period: The lookback period used for the Average True Range calculation.

Filters

• Min Probability %: The threshold for displaying probability labels on the chart.

Candle Features

• Body / Upper Wick / Lower Wick / Range / Volume: Toggles individual candle-based metrics used for model training.
• Delta Vol: Enables the use of 1-minute data to determine internal buying/selling pressure.

Trend Features

• Momentum / Pre-Flip Trend: Measures consecutive candle direction and magnitude before a flip.
• ATR Slope: Uses volatility direction as a predictive feature.
• ST Distance: Analyzes the gap between price and the line prior to the flip.
• Trend Duration: Tracks the length of the preceding trend.

Technical Features

• RSI / BB Position: Integrates Relative Strength Index and Bollinger Band context into the prediction model.

FAQ

How do I interpret the probability score?

The score represents the statistical likelihood that the current flip will reach the next opposite flip profitably, based on how similar feature sets performed in the past on your current chart.

Does the indicator repaint?

No. The SuperTrend flip and its associated probability are calculated based on data available at the close of the flip bar. While the model updates as new data arrives, past labels and their values remain fixed.

How can I access this tool?

You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.