I TESTED SuperTrend Trading Strategy 200 TIMES (Win Rate?)
Doesn't work
No edge after realistic trading costs
- trades tested
- 1,634
- per trade after costs
- -2.65bp
- winners
- 42%
- years of data
- 17.5
Gold 30-minute trend strategy: buy when the SuperTrend flips to an uptrend while price is above the 200 EMA, sell when it flips to a downtrend while price is below the 200 EMA. Stop at the SuperTrend line, profit target 1.5 times the stop distance.
The exact rules we tested
- 01Instrument: XAUUSD | Signal timeframe: 30m | Direction: both
- 02LONG when: st.dir crosses above 0
- 03SHORT when: st.dir crosses below 0
- 04Higher-timeframe inputs (closed-bar values only, no repaint): dclose on 1d, dema9 on 1d
- 05Long filter: close > ema200
- 06Short filter: close < ema200
- 07Entry: market at next bar open
- 08Stop: at the st.line level
- 09Target: 1.5R (risk-multiple of stop)