Supertrend Trend Signals with ATR Stops and Risk-Based Sizing

Summary

This document outlines a trend-following approach that enters when the Supertrend direction changes. It uses an ATR-based distance to set a stop and a risk-to-reward multiple to set a target. Position size is calculated from a stated fraction of account equity divided by the distance to the stop, linking trade size to the planned loss if the stop is reached. The listed defaults include a 10-period Supertrend ATR, a multiplier of three, a 1.5 ATR stop distance, a one-to-one reward ratio, and one percent risk per trade.

The source code provides the indicator and order logic, and the published settings show a one-month BTC futures backtest period. No performance figures are included, so the document does not establish profitability. It identifies whipsaws, slippage, and changing volatility as concerns, and suggests filtering signals, adjusting exits, and imposing additional risk limits. The source also uses a separate 14-period ATR for stops and targets, and its shared stop and target variables merit careful review when positions change direction. Parameter selection and execution assumptions would need independent testing.

Key ideas

• A change in Supertrend direction triggers a potential long or short entry.
• ATR distance defines the stop, while a risk-to-reward setting determines the target distance.
• Position size is based on account equity risk divided by the entry-to-stop distance.
• The indicator ATR and the exit ATR use different periods in the supplied source.
• A BTC futures backtest period is listed, but no results are reported.

Tags

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