Adaptive SuperTrend Periods Using R-Squared and Floating Levels

Summary

This indicator adapts the SuperTrend period using the coefficient of determination from a rolling linear fit of recent prices. It computes an R-squared value over the configured lookback and uses that value to adjust the period supplied to SuperTrend, aiming to respond more readily to small market fluctuations while retaining its trend-following role. The document gives an indicator implementation and describes the adaptive-period calculation, but reports no measured performance or comparison against a fixed-period SuperTrend.

It also plots upper, lower, and median floating levels from the recent range of SuperTrend values. The upper and lower levels are set as percentages of that range and are proposed as possible filters for false reversals. Their effectiveness is not tested in the document, and the suggested parameters are examples rather than validated settings. The method is presented as reusable for other indicators, with no market, timeframe, or trading rules specified.

Key ideas

• The indicator derives an R-squared statistic from a rolling window of recent prices.
• That statistic adjusts the period used by the SuperTrend calculation.
• Floating levels are computed from the recent high-low range of SuperTrend values.
• The levels are suggested as reversal filters, but the document provides no performance evidence.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.