ATR Supertrend Continuation

How the rule works

Supertrend is a recursive ATR band, so two scripts with the same 10,3 inputs can disagree if their initialization or band-reset rules differ. The formula below fixes those choices. The moving-average filter narrows entries, while the ratcheted active band controls exposure. A volatility spike can widen a newly calculated band even when a trading stop must remain unchanged.

Setup

• Use chronological closed bars t. Basic upper BU[t] = (High[t]+Low[t])/2 + 3×ATR10[t]; basic lower BL[t] = (High[t]+Low[t])/2 − 3×ATR10[t]. Final upper FU[t] = BU[t] if BU[t] < FU[t−1] or Close[t−1] > FU[t−1], otherwise FU[t−1]. Final lower FL[t] = BL[t] if BL[t] > FL[t−1] or Close[t−1] < FL[t−1], otherwise FL[t−1].
• Seed FU/FL from the first valid ATR bar and state bearish. If prior state is bearish, change to bullish only when Close[t] > FU[t]; if bullish, change to bearish only when Close[t] < FL[t]. Equality retains state. The active line is FL in bullish state and FU in bearish state. Discard the first 300 bars. Apply the EMA100 direction filter only to entries.

Indicators

• Supertrend(10,3)
• ATR(10)
• EMA(100)

Long entry

• Buy at next-bar ask only on a completed bearish-to-bullish Supertrend flip with close above EMA(100).

Short entry

• Sell at next-bar bid only on a completed bullish-to-bearish flip with close below EMA(100).

Stop loss

• Use the signal-time active Supertrend line as initial SL, provided it lies on the loss side of the executable entry and distance is no more than 4 × ATR10[1]. After a completed bar, tighten the stop to the new active line only while state remains unchanged. Never widen.

Exit

• Exit when the completed Supertrend state flips opposite, the ratcheted band is hit, or after 20 H4 bars. Do not assume a bar’s high/low determines which intrabar event came first.

Risk and position size

• Risk 0.50% equity from the initial stop. Use broker tick value to convert the stop into account currency and round volume down.

Costs and execution

• MT5 has ATR but commonly needs a verified custom Supertrend indicator. Record its source and parameters, use closed H4 values, then model spread, slippage and overnight swap.

When the method can fail

• Avoid sudden volatility expansions, flat EMA(100), and testing a third-party Supertrend indicator without auditing its formula. ATR trails can give back large open profit.

Worked example

• Hypothetical recursion: previous final upper is 1.1050, new basic upper 1.1060, and previous close 1.1030. Final upper stays 1.1050. A new close 1.1055 can flip a bearish state bullish. If next ask is 1.1057 and final lower 1.0990, planned risk is 67 pips; the EMA100 and 4×ATR distance checks still apply.

Historical test results

No tested pair meets the complete research-screen criterion. Positive cells alone do not qualify the strategy.

24 mechanical runs across 4 pairs on H4. Decisions use completed strategy bars; fills use native ICMarketsEU-Demo M15 Bid candles with explicitly modelled costs. Full window: 1 January 2025–18 September 2026. Each row starts with an independent USD10,000 account.

Interpretation: these are mechanical bar-model tests, not verified real-tick or live performance. Price rules were held fixed; subjective market-quality exclusions remain outside the mechanical model. Strategy adaptation requires a new test.

Download all test metrics and assumptions (JSON) · Download simulated trade logs and reproducible research code · Broker commission and swap documentation

Execution conventions

• Bar [0] is forming; [1] is the most recently completed bar. Unless explicitly stated otherwise, indicators use Close with zero plot shift and signals use completed bars. EMA is exponential, SMA is arithmetic and MT5 ATR is its native true-range average. Use at least 300 completed warm-up bars; a longer rule-specific requirement takes priority.
• A close-based signal is executed at the first available quote after the close, never retrospectively at the signal close. Buy at ask, sell at bid; close longs at bid and shorts at ask. A standing stop or target can fill within a bar. A gap through a stop fills at the first executable price, which can be worse than the stop.
• R means the initial entry-to-protective-stop distance, fixed at entry. Convert that distance into account-currency loss using the symbol tick size and loss-side tick value. Lots = cash risk / loss per lot, rounded down to the broker volume step. Round prices to the trade tick and recheck risk plus minimum stop/freeze distances before submitting. Budget commission and slippage separately; skip if minimum size exceeds the risk limit.
• Use one position per symbol and no averaging down. A trailing stop only tightens after a completed bar and becomes active on the next quote. The entry bar is holding bar one; a time exit executes on the quote after the specified holding bar closes. When a hard stop and a close-based exit compete, the stop already active takes precedence. With OHLC-only data, assume stop before target if both can occur in one bar; tick data is needed to resolve the order.
• The article defines the price rule. Any discretionary news exclusion changes the tested variant and must be recorded in advance. Map broker timestamps to the named London/New York time zone using historical daylight-saving offsets; do not assume a fixed UTC offset. Include spread, commission, slippage, overnight financing and triple-swap days in a profitability test.

Adapt and test your version

• Treat these inputs as a reproducible starting specification. Choose a currency pair, session and holding period that match the time you can monitor the market, then record any changes to indicator periods, thresholds, stop distance or exits as a new version.
• Change one hypothesis at a time. Reserve a later period and additional pairs for evaluation before looking at their results. Include your account’s actual trading and financing costs, compare small parameter changes, and forward-test on demo. A selected profitable window does not validate the strategy or its modified version.

Reproduce the chart in MT5

• Open EURUSD on H4. Add the indicators listed above through Insert → Indicators; use Close and zero shift unless a different setting is specified. The Data Window displays exact values for the selected completed candle.
• Compare the signal candle with the required earlier bars before moving forward. Use the crosshair to read prices and times. For custom channels, session levels or Supertrend, reproduce the formula in this guide and check the calculation before relying on an external indicator.
• Draw entry, initial SL and target only after a candle has satisfied every condition. Label planned levels as plans; they do not demonstrate a historical fill. The featured chart is genuine historical MT5 context and is not a trade-performance report.

Sources

• MT5 Help: Average True Range — Indicator/platform definition; not strategy performance.
• SuperTrend — MQL5 Code Base, FxGeek — Example of a custom MT5 indicator. Its code is not asserted to match the explicit recurrence in this guide.