# TR-Supertrend — Rules (own words, not a transcript copy)

- Source video: Trading Rush, "Supertrend Indicator Tested 100 Times" (YouTube video ID
  `GKNVmb82IfE`, canonical watch URL `https://www.youtube.com/watch?v=GKNVmb82IfE`).
- Official companion article: `https://tradingrush.net/supertrend-indicator-tested-100-times-so-you-dont-have-to/`
- Accessed: 2026-09-28. Local transcript: `transcript.txt` (gitignored, read-only, not quoted
  at length here).
- Scope of this file: what the video was observed to say, what we assume, and what stays open.
  No claim of exact replication of the video's manual test.

## Video claim (as stated in the video, not our measurement)

- About 100 manual backtest trades, tracked in the author's own app, starting on EURJPY and
  continuing on EURUSD after running out of data.
- Fixed 1.5:1 reward-to-risk on every trade; reported win rate approximately 46%.
- The video presents the outcome as profitable overall, with streaks of 7 wins and 7 losses.
  We report this as the video's claim. Our own measurement: vectorbtpro run on Dukascopy
  H1 Bid, see RESULTS.md. No exact replication of the video is claimed.

## Observed strategy rules (paraphrased)

1. Basis: the Supertrend line (ATR-based trend line that sits below price in up-moves and above
   price in down-moves; green = up, red = down).
2. Entry signal: the Supertrend flips side — below the candles for long, above for short.
3. Long filter: take the flip-long only when price is above the 200-period exponential moving
   average. Short filter: flip-short only when price is below it. Unfiltered flips against the
   long-term trend are skipped.
4. Initial stop: at, or just beyond, the Supertrend line (below it for longs, above for shorts).
5. Exit in the 100-trade test: fixed target at 1.5 times the entry-to-stop distance (1.5R),
   fixed stop from rule 4. The video separately describes trailing the stop along the
   Supertrend line as an alternative exit, but the counted test used the fixed 1.5R exit.
6. Caution stated in the video: a Supertrend-based stop can be far from entry, so price often
   reverses into the stop before reaching target; the author suggests considering a
   price-action-based stop when the Supertrend stop is very wide.

## Explicit frozen assumptions for this test

| # | Point | Frozen default | Reason |
|---|-------|----------------|--------|
| A1 | Supertrend ATR period / multiplier | 10 / 3.0 | Widely used platform default; video gives no values |
| A2 | Supertrend price input | Median price (high+low)/2 | Standard Supertrend definition |
| A3 | EMA200 applied to | Close prices | Standard trend-filter use |
| A4 | Chart timeframe | H1 | Assignment scope (EURUSD H1, EURJPY H1); video states no timeframe in the transcript |
| A5 | Bar decision timing | Closed bars only: flip confirmed when bar 1 closed with opposite direction to bar 2; fill at the next bar's open | Avoids intra-bar repaint; testable and reproducible |
| A6 | Stop placement | Exactly at the Supertrend value of the signal bar, no extra offset (offset input defaults to 0 points) | Literal reading of "at ... the supertrend line" |
| A7 | Target | 1.5 × (entry − stop) for longs, mirrored for shorts, set at order time | Video's stated 1.5:1 ratio |
| A8 | Overlapping signals | One position per symbol at a time; new signals ignored while a position is open | Prevents compounding ambiguity; variant covers reversal |
| A9 | Exit on opposite flip | No (positions exit only at SL/TP in the base run) | Matches the fixed-SL/TP test described for the 100 trades |
| A10 | Trailing | Off in the base run | The 100-trade test used fixed exits; trailing is a variant |
| A11 | Session filter | None (24h) | Video states none |
| A12 | Lot sizing | Fixed 0.01 lots | Keeps trade counts/win-rate comparable without money-management effects |
| A13 | Costs | Fixed assumed costs (bid-only data): spread EURUSD 1.0 pip / EURJPY 1.2 pip (half-spread adverse per fill) plus $7/lot round trip ($0.07 at 0.01 lot); EURJPY commission converted at fixed USDJPY 140 | Assumptions, not measured costs |
| A14 | Period / split | Full Dukascopy H1 window from 2017 per symbol, predeclared IS/OOS split at 2024-01-01 00:00 UTC+2 (trades assigned by exit time) | W7-TEST requires an explicit IS/OOS boundary |

## Open points and variant plan (at most three single-dimension variants)

| # | Open point (video silent or ambiguous) | Base (above) | Variant (`test.py` id) |
|---|----------------------------------------|--------------|------------------------|
| V1 | ATR period / multiplier unknown | 10 / 3.0 | `st72`: 7 / 2.0 — rerun both symbols |
| V2 | Stop offset ("at or below/above") | Exactly at the line | `stopbuf`: buffered by 0.25 × ATR(14) beyond the line |
| V3 | Wide-stop problem (author's own caveat) | No cap | `wideskip`: skip signals whose stop distance exceeds 4.0 × ATR(14) (stop distances run 1.6-7.7 ATR, median ~3.5, so 1.0 would empty the sample) |

No variant changes two dimensions at once; each variant reruns the full two-symbol battery so the
reported range reads "depending on open point X, the measured win rate lies between A and B".
The video's manual 100-trade sample (mixed symbols, unknown dates/spread) cannot be
reconstructed; no exact replication is claimed.

Reproduce with `py -3.11 test.py` (vectorbtpro). Outputs are in `results/`.