Multi-Filter Supertrend with ATR-Based Trade Exits
Summary
This strategy builds on Supertrend by using ATR to set its changing bands and infer trend direction. A reversal in the Supertrend state can trigger an entry, subject to optional filters: RSI boundaries, price relative to a selectable moving average, minimum trend duration, and a close beyond the prior Supertrend level. These conditions aim to screen signals before orders are placed. Optional stop-loss and take-profit levels are specified as multiples of ATR.
The document explains the indicator logic, configurable filters, and risk controls, and says the implementation includes commission-aware backtesting metrics. However, the supplied material contains no specific performance figures or market test results, so the claimed signal improvements are not demonstrated here. It identifies sideways markets, lagging indicators, parameter overfitting, missed trades from strict filters, and ATR stops triggering during volatility as limitations. It suggests regime classification and adaptive parameters as possible extensions, rather than reporting them as tested improvements.
Key ideas
- ATR sets Supertrend bands and also scales optional stop-loss and take-profit distances.
- Entries follow Supertrend reversals when enabled RSI, moving-average, duration, and breakout filters agree.
- Filters are configurable, so stricter confirmation may reduce signals and miss some opportunities.
- The document describes backtest metrics but supplies no actual results.
- Sideways conditions, lag, parameter sensitivity, and premature stop-outs are stated risks.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.