Supertrend Flips Filtered by ADX and Choppiness with ATR-Based Exits

Summary

This strategy enters when Supertrend changes direction, using an upward flip for long trades and a downward flip for shorts. A signal must also pass two regime filters: ADX must exceed a minimum strength threshold, and the Choppiness Index must remain below a configured limit. The script allows long-only, short-only, or two-way trading, and plots the Supertrend line for reference.

At entry, it records ATR as a percentage of price and uses that value to set a volatility-scaled profit target and stop relative to the position’s average price. A separate fixed-percentage stop is compared with the ATR stop, with the closer one applied. The document describes the rules and provides code, but reports no test results or evidence that the filters improve returns. Outcomes may depend on instrument, timeframe, execution assumptions, and parameter choices; the stated portability of percentage-normalized distances is not demonstrated with comparative results.

Key ideas

• Entries occur only on a Supertrend direction change, subject to trade-direction settings.
• Both ADX strength and a low Choppiness Index reading are required for an entry.
• The strategy captures ATR as a percentage of price when a signal occurs and uses it to scale exits.
• A fixed-percentage hard stop competes with the ATR stop, and the nearer stop is selected.
• The document gives no backtest evidence for the strategy’s effectiveness or portability.

Tags

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