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Hypotheses

ETH OKX SuperTrend Band-Flip Entry with a Tighter Chandelier Exit and an Explicit Flat State, Long-Short (ETHUSDT.OKX 4H, canonical ATR10 x 3, pure OHLCV)

Source mechanism (homily, FMZ digest 5457, sections 4-5): SuperTrend. It takes hl2 = (high+low)/2 and a Wilder-RMA ATR(N), and builds a lower band Up = hl2 - F*ATR and an upper band Dn = hl2 + F*ATR. Each band can only…

Hypothesis

Source mechanism (homily, FMZ digest 5457, sections 4-5): SuperTrend. It takes hl2 = (high+low)/2 and a Wilder-RMA ATR(N), and builds a lower band Up = hl2 - F*ATR and an upper band Dn = hl2 + F*ATR. Each band can only ratchet toward price while the prior close stays on its side (TrendUp = max(Up, TrendUp[1]) if close[1] > TrendUp[1], else Up; TrendDown is the mirror image). Trend flips to +1 when a close is above TrendDown[1] and to -1 when a close is below TrendUp[1]. The source trades every flip as a……Show moreShow less

Source mechanism (homily, FMZ digest 5457, sections 4-5): SuperTrend. It takes hl2 = (high+low)/2 and a Wilder-RMA ATR(N), and builds a lower band Up = hl2 - F*ATR and an upper band Dn = hl2 + F*ATR. Each band can only ratchet toward price while the prior close stays on its side (TrendUp = max(Up, TrendUp[1]) if close[1] > TrendUp[1], else Up; TrendDown is the mirror image). Trend flips to +1 when a close is above TrendDown[1] and to -1 when a close is below TrendUp[1]. The source trades every flip as a stop-and-reverse, never flat, on 15m bars of an OKX BTC quarterly. The source's return claims are treated as unverified. Following lesson L167, this is a first-principles restatement, not a port. It changes three things. (1) TIMEFRAME: 15m becomes 4H. On 15m ETH a 3xATR flip is only about a 1% move, and each stop-and-reverse pays a double-notional ~0.20% round trip, which is the fee graveyard. On 4H, ETH ATR(10) is about 1.5-2.5% of price, so a flip needs roughly a 5-7% displacement. (2) FLAT STATE (L150): the SuperTrend flip is used ONLY as an entry trigger. The position exits on a tighter chandelier trail, and after that exit the book stays FLAT until the next SuperTrend flip in either direction. It never re-enters in the same trend and never reverses automatically. Expected time in market is about 45-55%. (3) VENUE: ETHUSDT.OKX USDT perpetual swap. This is the source's own exchange family, and OKX is at 0.1% of the corpus against a >=5% quota. The catalog holds 4H ETHUSDT.OKX bars from 2019-12-25 onward, about 6.7 years and ~14,600 bars, so the sample is large enough for walk-forward and a 20% holdout. Parameters: the canonical published SuperTrend defaults (Rajandran 2013: ATR period 10, factor 3.0), which are NOT fitted to this series, plus one exit multiple (chandelier 2.0xATR). Declared selection choices (L122): ETH rather than BTC because BTC is over-concentrated in the corpus. ETH is the most liquid non-BTC OKX perp with multi-year history, and it is the only one besides BTC with deep 4H history in the catalog. 4H is chosen for the fee arithmetic above. A pure always-in stop-and-reverse (the source's literal form) may be reported as a separately scored secondary variant. It is not the primary claim.

Analysis

SuperTrend V.1--超级趋势线系统

Backtest and paper results are hypothetical. Trading involves risk of loss.