An Adaptive SuperTrend with Trend Quality, Dynamic Targets, and Self-Calibration

Summary

This indicator design extends SuperTrend with an efficiency-weighted ATR and a four-part Trend Quality Index (TQI) based on price efficiency, volume or volatility regime, position within a recent range, and directional persistence. TQI adjusts the stop and opposite bands asymmetrically: the active trail tightens as trend quality rises, while the passive band widens. A separate character-flip rule can reverse direction when quality falls sharply, subject to a minimum trend age. Signals include a multi-component score, a pivot-based stop, and three risk-multiple targets that can scale with TQI and volatility.

The design also describes an optional calibration loop based on recent realized R, a rolling trade-statistics buffer, and a nine-cell efficiency-by-volatility regime grid. These are proposed indicator features, not evidence of profitability: the document supplies no independent backtest, out-of-sample results, or transaction-cost analysis. Its reported scores, thresholds, and simulated trade accounting depend on the chosen settings and assumptions, so users would need to validate them on suitable data and account for execution and overfitting risks.

Key ideas

• The ATR input is scaled by Kaufman efficiency so noisy price paths contribute less than directional moves.
• A weighted Trend Quality Index combines efficiency, participation or volatility, range structure, and momentum persistence.
• The indicator tightens its active trail and widens its passive band as trend quality rises.
• A quality-collapse flip, signal score, pivot stop, and dynamically scaled risk-multiple targets extend the standard SuperTrend rules.
• Optional calibration and regime statistics summarize recent simulated trade outcomes, but the document provides no independent performance validation.

Tags

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