ATR Supertrend Reversal Strategy with Date-Window Backtesting
Summary
This strategy uses an ATR-based Supertrend to identify directional changes and enter long or short positions when its trend state flips. It builds trailing upper and lower bands from the midpoint price and ATR, with a choice between built-in ATR and a simple moving average of true range. The default settings use a 10-bar ATR and a multiplier of 3, though both can be adjusted.
The script also offers optional signal labels, trend shading, and bar coloring, and limits simulated entries to a configurable date range. The document describes the indicator logic and settings but gives no backtest results or evidence of profitability. As a trend-following approach, it may generate repeated reversals in sideways markets; the supplied material also recommends accounting for costs and position sizing when evaluating it. Its performance will depend on the instrument, timeframe, and chosen parameters.
Key ideas
- Long and short entries occur when the Supertrend state reverses direction.
- ATR sets the distance of the bands, with an alternative true-range averaging method available.
- A configurable date window can restrict when the strategy enters trades.
- Visual options display trend direction and reversal signals but do not change the entry logic.
- The document provides no performance results, and sideways markets may produce false reversals.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.