SuperTrend strategy backtest results

The short answer

Answers here: Does the SuperTrend strategy work? · What are the best SuperTrend settings? · Does it beat holding the stock? · Long only, or both ways?

What the script does

SuperTrend Strategy, from the strategy library.

The numbers, run by run

Net and holding the symbol are after costs over the same period. Held-out is the verdict on the last third of the history judged alone: survived, decayed, did not survive, or too few trades to judge.

Year by year

ATR 10, factor 3 on SPY, long and short, the same rule long only, and SPY itself, each calendar year after costs. A partial first or last year counts the sessions it has.

Every trade

The 93 trades of ATR 10, factor 3 on SPY, long and short, oldest first: side, entry and exit days, fill prices after slippage, and the return after both commissions. The other runs' trades open below.

The script

Pine v6, exactly as it ran for ATR 10, factor 3 on SPY, long and short. The variants change only the inputs listed in the table.

//@version=6
strategy("SuperTrend Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100, initial_capital=100000, commission_type=strategy.commission.percent, commission_value=0.05, slippage=1, margin_long=0, margin_short=0)

factor   = input.float(3, "ATR multiplier", minval=0.5, step=0.1, group="Setup")
atrLen   = input.int(10, "ATR length", minval=1, group="Setup")
useLong  = input.bool(true, "Trade longs", group="Direction")
useShort = input.bool(true, "Trade shorts", group="Direction")
tpMult   = input.float(0, "Target (ATR multiples, 0 = off)", minval=0, step=0.5, group="Risk")

[st, dir] = ta.supertrend(factor, atrLen)
atr = ta.atr(atrLen)
up  = dir < 0

longSig  = up and not up[1] and barstate.isconfirmed
shortSig = not up and up[1] and barstate.isconfirmed

plot(up ? st : na, "Up trend", color=color.new(#16A56A, 0), linewidth=2, style=plot.style_linebr)
plot(up ? na : st, "Down trend", color=color.new(#E5484D, 0), linewidth=2, style=plot.style_linebr)

if longSig
    strategy.close("Short")
    if useLong
        strategy.entry("Long", strategy.long)
        strategy.exit("Long target", "Long", limit=tpMult > 0 ? close + tpMult * atr : na)
if shortSig
    strategy.close("Long")
    if useShort
        strategy.entry("Short", strategy.short)
        strategy.exit("Short target", "Short", limit=tpMult > 0 ? close - tpMult * atr : na)

How it was tested

Alpaca daily data since 2016, and 5-minute data from the last 600 sessions, 0.05% commission and 0.025% slippage on every fill, the last third of the history held out, textbook settings and nothing tuned. The engine, fills and what it does not model are written out once, in data and methodology.

Questions