SuperTrend Breakouts with EMA and RSI Filters and ATR Risk Controls

Summary

This trend-following system uses a SuperTrend line to generate breakout signals, with a 200-period EMA confirming the broader direction and RSI optionally confirming momentum. Long entries require price above the EMA and RSI above 50 when the filter is enabled; short entries require price below the EMA and RSI below 50. ATR determines stop distance, and the profit target is set as a multiple of that distance. The described defaults include a two-to-one reward-to-risk target and position sizing at a fixed share of account equity.

The document lists Binance ETH/USDT futures and three-hour bars in its published backtest settings, but supplies no performance results. It warns that lagging indicators can react slowly at reversals, trend rules can suffer repeated losses in sideways markets, and extreme volatility may make ATR stops too wide or fail to contain gaps. Multiple adjustable parameters also raise overfitting concerns. Suggested improvements include identifying market regimes, adapting parameters, adding drawdown and volatility-based sizing controls, and validating robustness with forward or segmented testing.

Key ideas

• SuperTrend breakouts are filtered by price relative to a 200-period EMA and optionally by RSI relative to 50.
• ATR sets stop distance, and the profit target scales that distance by a reward-to-risk multiplier.
• The described sizing method allocates a fixed share of account equity to each trade.
• The published backtest settings specify ETH/USDT futures on three-hour bars, but no results are reported.
• Lag, ranging markets, extreme volatility, and overfitting are identified as risks.

Tags

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