SuperTrend and EMA Trend Following with Fixed and Trailing Stops

Summary

This strategy combines SuperTrend direction changes with a 49-period exponential moving average as a price filter. It uses an ATR period of 16 and a factor of 3.02 for SuperTrend, with stated fixed initial stops of 50 points and trailing stops that activate after a 70-point favorable move. A long signal requires a downward change in the direction value while the close is above the EMA; a short signal requires an upward change while the close is below it. New positions are opened only when flat. The document lists position size as 15% of equity, while the supplied source sets the default order size to 100% of equity.

The method is presented as a trend-following system with dual stop mechanisms. Its stated risks include whipsaws in sideways markets, slippage, parameter sensitivity, and drawdowns around reversals. Suggested refinements include volatility-adjusted parameters and stops, market filters, and dynamic position sizing. The backtest settings specify daily BTC-USDT futures data over about a year, but no results are reported. The source evaluates stop conditions using closing prices, and its fixed point distances may not transfer directly across instruments.

Key ideas

• SuperTrend direction changes generate candidate entries, with the EMA close relationship filtering their direction.
• The rules use an initial fixed stop and activate a trailing stop after a favorable price move.
• The document gives conflicting position-size descriptions: 15% of equity in the prose and 100% in the source settings.
• Sideways markets, slippage, sensitive parameters, and reversal drawdowns are identified as risks.
• Daily BTC-USDT futures backtest settings are provided without performance results.

Tags

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