Supertrend Entries Filtered by Trend, Momentum, and Volume
Summary
This trend-following system combines ATR-based Supertrend direction changes with trend and momentum filters. For long entries, it checks that price is above a short-term EMA and a long-term DEMA, RSI exceeds a threshold, and volume is above its EMA. It also describes re-entry after a pullback above the EMA during an uptrend. ATR-based stop-loss, optional take-profit, and trailing-stop rules are included, along with parameter presets for hourly, daily, and weekly use. The supplied material also describes short entries and exits, though the detailed rules are not fully consistent across the overview and code excerpt.
The document reports an approximately 60% win rate and profit factor above 4 on daily data, but does not specify the market or test period for those figures in the provided text. It also warns of drawdowns exceeding 100% with full position sizing, limited historical coverage, and unknown behavior in extreme conditions. Choppy markets may trigger repeated losses, while layered filters can delay or miss entries; the reported results therefore require broader validation.
Key ideas
- Supertrend direction changes provide the core entry and exit signals.
- Trend alignment, RSI, and volume conditions filter entries, while pullback logic allows re-entry during an uptrend.
- ATR rules define stop-loss, optional take-profit, and trailing-stop levels.
- The document reports daily backtest metrics but does not identify the tested market or period in the provided material.
- It warns that full position sizing can produce drawdowns above 100% and recommends broader testing and risk controls.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.