Supertrend Breakouts Filtered by Bollinger Bands
Summary
The document combines Supertrend, calculated using average true range, with Bollinger Bands to define entries and exits. It proposes a long entry when the close moves above the Supertrend line while remaining below the lower band, and a short entry when the close falls below the trend line while remaining above the upper band. Positions are closed when price crosses the Supertrend line in the opposing direction. The intended logic pairs a trend signal with a volatility-based location filter.
Example parameters are a Supertrend factor of three, an ATR length of ten, and Bollinger Bands with a 20-period length and two-standard-deviation multiplier. The published backtest settings cover BTC-USDT futures on five-minute bars from March 21 to 28, 2024, but provide no performance results. The combination is parameter-sensitive, and the stated entry conditions may be restrictive because they require a trend-line break while price is beyond an outer band. The document notes that changing volatility can widen the bands and that trading frequency and costs may matter; the example does not establish effectiveness.
Key ideas
- Supertrend uses average true range to indicate trend direction and provide an exit reference.
- The entry rules pair a Supertrend cross with price location beyond a Bollinger Band.
- Long and short positions close after price crosses the Supertrend line in the opposing direction.
- The example uses a factor of three, ATR length of ten, and 20-period bands with a multiplier of two.
- Only a short BTC-USDT futures backtest window is specified, without reported performance results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.