Supertrend Reversals Filtered by CCI Extremes

Summary

This short-term strategy combines two Supertrend indicators with different factors and a CCI filter. Both Supertrends use a 14-period ATR, with factors of 3 and 6. A long setup occurs when price is below the faster Supertrend but above the slower one, alongside a smoothed CCI below −100; the short setup uses the opposite price alignment and smoothed CCI above 100. Positions close when the Supertrend relationship changes or raw CCI crosses the relevant extreme threshold.

The document suggests the CCI filter may help screen signals and discusses tuning indicator settings, limiting entries, and measuring drawdown or profit-to-loss ratios during optimization. It reports no strategy performance or evidence that the filters improve results. It also flags indicator lag, repeated signals in volatile conditions, and trading costs from frequent turnover. The published settings describe a BTC/USDT futures test on daily bars with hourly base data, but do not provide results or broader validation.

Key ideas

• Two Supertrend lines use the same ATR period with different factors to represent faster and slower conditions.
• Long and short setups combine price position relative to both lines with smoothed CCI extremes.
• Position exits use changes in Supertrend alignment or raw CCI crossing an extreme level.
• The document warns about lag, repeated trades, and costs from frequent turnover.
• The stated backtest configuration contains no reported performance results.

Tags

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