Confirming SuperTrend Breaks with Relative-Volume Percentiles

Summary

This indicator pairs ATR-based SuperTrend regime changes with a relative-volume confirmation filter. It estimates buying and selling volume from each bar’s close within its high-low range, then compares a fast EMA of each side’s volume with a slower EMA baseline. On bullish and bearish breaks, it ranks the corresponding relative-volume reading against a separate FIFO history of prior breaks. A user-set percentile threshold can filter out weaker-volume flips; the indicator also describes direction states, chart coloring, arrows, and percentile labels.

The adaptation replaces the original KDE-based probability estimate with an empirical percentile rank, arguing that a direct historical rank is simpler for threshold decisions and avoids KDE bandwidth choices. Its resolution depends on the sample buffer, and the volume split is a bar-level heuristic rather than observed buyer and seller flow. The text offers suggested threshold settings and applications, but provides no trading backtest or evidence that filtered signals improve returns. The indicator is therefore a signal tool whose parameters and performance require instrument- and timeframe-specific evaluation.

Key ideas

• SuperTrend uses persistent ATR bands to define bullish and bearish regime breaks.
• The indicator estimates buy and sell volume from each bar’s close location within its range.
• It ranks break-time relative volume against separate histories for bullish and bearish breaks.
• An optional percentile threshold confirms only breaks that meet the chosen volume rank.
• Empirical ranking avoids KDE bandwidth selection, while its precision depends on the finite sample buffer.
• The document describes indicator behavior and suggested uses but supplies no performance backtest.

Tags

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