Trend Following with Moving-Average Candles and Supertrend Stops

Summary

This strategy smooths open, high, low, and close prices with a selected moving average, then calculates Supertrend-style trailing stops from those smoothed candles. It enters long when price is above the short stop and the Supertrend direction is bullish, subject to a higher-timeframe yearly range filter; the short setup reverses these conditions. A direction change closes an existing position. The parameters allow different moving-average types, a 20-bar smoothing lookback, an ATR-based stop length of 30, and a multiplier of 1. The published backtest settings cover BTC/USDT futures for a little over three months, but no results are stated.

The document frames the yearly high and low conditions as a way to reduce invalid signals in range-bound markets. It also notes that both the smoothing and stop parameters require optimization and that stop discipline matters. No evidence establishes that the filters improve accuracy or profitability. The supplied source contains a disabled adaptive-wicks option and uses prior yearly data in its higher-timeframe filter, details that limit what can be inferred from the general description.

Key ideas

• The strategy smooths OHLC prices with a selectable moving average before calculating trailing stops.
• Long and short entries combine Supertrend direction, price relative to a stop, and a yearly range filter.
• A Supertrend reversal closes the open position.
• The example uses ATR-based stops, with a length of 30 and a multiplier of 1.
• Published backtest settings provide no performance results, and parameter sensitivity remains a caveat.

Tags

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