Short-Term CAC 40 Trading with Multi-Timeframe Supertrend Filters

Summary

This document describes an intraday strategy for the French CAC 40 using 10-second bars. It calculates Supertrend states across several higher timeframes, then combines those states with detailed weekday and time-of-day filters. Long entries are considered when price is below its level 80 bars earlier; short entries are considered when price is above its level 30 bars earlier. Separate long and short exclusion conditions determine when trades are blocked.

The code includes profit-sensitive position sizing with minimum and maximum limits, a fixed stop loss, and a profit target that changes late in the session. The accompanying explanation characterizes the approach as trend-following, though the entry comparisons and extensive hand-coded filters make its behavior dependent on precise platform semantics. It supplies rules rather than backtest evidence. The many calendar and time conditions, instrument-specific sizing assumptions, and stated CAC 40 context limit how readily the strategy can be generalized; execution costs and slippage are not quantified.

Key ideas

• The strategy evaluates 10-second CAC 40 data and Supertrend conditions on multiple timeframes.
• Entry signals compare current price with prices from earlier bars.
• Weekday and time filters can block either long or short trades.
• Position size changes with strategy profit and is bounded by configured limits.
• The document provides no test results and does not quantify trading costs.

Tags

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