SuperTrend Trend Following with Dynamic Sizing and 5:1 Targets

Summary

This strategy combines SuperTrend trend changes with volatility-based position sizing and grouped entries. It calculates the indicator from ATR bands around the midpoint price, then uses a close crossing a prior band to signal a change in direction. For each entry, size is based on a fixed share of account equity divided by the distance to the initial SuperTrend stop; a group’s profit target is set five times that stop distance away.

The document describes adding to positions during an ongoing trend and managing groups with a common initial stop and target. On a reversal, it closes a losing position, exits if the target condition is met, or moves the stop to breakeven before opening in the new direction. It provides a conceptual strategy and implementation details, but no reported performance results. The document itself flags risks from extensive pyramiding, gaps through stops, parameter sensitivity, choppy markets, and cumulative exposure across active groups; its proposed safeguards include trend filters and an overall risk cap.

Key ideas

• SuperTrend band breaks define direction changes and trigger entries.
• Position size scales with equity and the distance to the initial stop.
• Same-direction entries are grouped under a shared stop and five-to-one target.
• Reversals use profit-and-loss conditions to close or protect the existing group.
• Pyramiding, gaps, sideways markets, and aggregate exposure can undermine risk control.

Tags

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