Supertrend Trend Filter with Donchian Levels and Volume Confirmation

Summary

The strategy combines a local Supertrend direction with an optional higher-timeframe Supertrend agreement filter and a volume threshold. It also calculates prior-bar Donchian channel boundaries and uses ATR-based stop and target levels, with an optional exit when the local Supertrend flips. Direction controls allow long trades, short trades, or both; the supplied defaults allow longs and disable shorts.

The accompanying explanation recommends testing filters across unrelated symbols and timeframes, and warns about false breakouts, higher-timeframe behavior in live use, and approximate cost assumptions. No backtest results are provided. There is also a material mismatch between the description and the shown entry logic: long signals compare close with the prior lower channel, while short signals compare close with that same lower channel, rather than requiring breaks of the upper and lower boundaries respectively. This discrepancy should be resolved before interpreting the script as a conventional Donchian breakout system.

Key ideas

• The design combines local and higher-timeframe Supertrend direction with a volume condition.
• ATR multiples define stop-loss and take-profit distances, and trend flips can trigger early exits.
• The prose describes Donchian breakouts, but the displayed signal conditions do not test the expected upper and lower boundary breaks.
• The document gives testing cautions but no performance evidence.

Tags

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