Filtering Supertrend Trades with Strategy Equity Curve Trends

Summary

The document presents a Supertrend approach paired with an equity-curve filter. Supertrend uses an ATR-based band to identify direction, while the proposed filter compares strategy net profit with an exponential moving average. The stated rule is to allow trading when the equity curve is above its average and pause when it falls below, resuming after recovery. The parameters include a 10-period ATR, multiplier of 3, and a 25-period equity-curve EMA, with a BTC/USDT futures backtest spanning a year.

The document reports qualitatively that applying the equity-curve method often lowers profitability, so it frames the approach as defensive. No return, drawdown, or comparison statistics are supplied. There is also a gap between the described method and the source: the code generates Supertrend entries without gating them on the equity-curve condition, and its filtered equity calculation is presented separately. Results from that implementation therefore may not establish the effectiveness of the stated trading filter. Parameter choice and delayed re-entry are noted risks.

Key ideas

• Supertrend uses ATR-based bands to generate directional entry signals.
• The proposed filter pauses trading when strategy net profit is below its moving average.
• The example parameters specify a 10-period ATR, a multiplier of 3, and a 25-period EMA for the equity series.
• The document says the equity-curve method often reduces profitability but provides no numerical performance evidence.
• The published code does not gate its entries on the equity-curve filter described in the prose.

Tags

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