Configurable Long and Short Supertrend with ROC Filters and Stops
Summary
This strategy uses separate Supertrend calculations for long and short signals, with each direction configurable through its own ATR period and multiplier. A rate-of-change filter further qualifies signals: a long setup requires an upward Supertrend change and a sufficiently nonzero smoothed ROC reading, while a short setup uses a downward change and its own ROC settings. The strategy also offers independent fixed-percentage or ATR-derived stop settings and switches for enabling either side.
The document lists example parameters and BTC/USDT futures backtest settings from January to September 2023 on a three-hour chart. It supplies no performance statistics, so its general claims of improved precision or practical effectiveness cannot be assessed from the material provided. It cautions that Supertrend can be breached and recommends confirmation and careful parameter selection. The source code includes stop and holding-period related inputs, but the described method does not provide evidence that these settings improve results.
Key ideas
- Long and short Supertrend signals use independently configurable ATR periods and multipliers.
- Smoothed rate of change is used to qualify trend-change entries on each side.
- Traders can enable long trades, short trades, or both, and configure separate stop-loss methods.
- The backtest configuration gives a market and timeframe but no performance results.
- Supertrend signals can fail, and the document highlights confirmation and parameter selection as concerns.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.