Combining MACD, SuperTrend, and ADX for Daily Stock Trading
Summary
This project describes a daily trend-following strategy for liquid Nifty 50 stocks, taking both long and short positions. MACD and SuperTrend generate directional signals: MACD crossovers can provide quicker entries, while SuperTrend helps identify the prevailing price trend. Each indicator is assigned a different weight, and ADX acts as a filter so trades are opened or maintained only while the stock meets a preset trend-strength threshold. When ADX falls below that threshold, open positions are closed at the next market open.
The author outlines a historical test using daily price data from 2012 onward and reports calculating cumulative and annualized returns, volatility, Sharpe ratio, trade success, and profit-to-loss measures. The article also describes handling price adjustments around corporate actions, accounting for commissions, and using prior-period indicator values to reduce look-ahead bias. It does not provide the numerical performance results in the supplied text. Results may be affected by missing historical data, the price-adjustment heuristic, and the absence of detail here on the threshold, parameter selection, and broader out-of-sample validation.
Key ideas
- MACD crossovers and SuperTrend direction provide separate long and short trading signals.
- ADX filters trades by trend strength and closes positions when the threshold is no longer met.
- The strategy assigns different position weights to MACD and SuperTrend signals.
- The historical test uses daily stock data and includes commissions and multiple performance measures.
- Missing data and price adjustments around corporate actions are acknowledged limitations.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.