ADX Regimes Adapt Supertrend Width and Entry Filtering

Summary

This strategy combines Supertrend direction changes with an ADX-based market regime filter. ADX above a trend threshold selects a tighter ATR multiplier, while ADX below a lower threshold selects a wider multiplier. Between the thresholds, the strategy retains its previous regime, which is intended to reduce rapid switching. When enabled, the choppy regime blocks new entries; an optional setting can also flatten open positions when conditions turn choppy.

Entries follow Supertrend flips in either direction, subject to the choppiness filter and an optional date window. Position quantity is calculated from equity risk and the distance between the close and the Supertrend line. The settings also provide optional trailing stops, an R-multiple profit target, and a maximum holding period. The available document ends partway through the entry logic, so it does not show the complete order and exit implementation. It includes no backtest results or performance evidence; thresholds, sizing assumptions, costs, and behavior across markets therefore remain unvalidated here.

Key ideas

• ADX selects a tighter Supertrend multiplier in trending conditions and a wider one in choppy conditions.
• A neutral ADX band preserves the prior regime to reduce frequent switching.
• Supertrend direction flips provide long and short signals, while an optional filter blocks entries during choppy conditions.
• Position size is based on an equity risk percentage and the distance from price to the Supertrend line.
• The provided source is truncated before the complete trade management logic, and no performance results are reported.

Tags

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