Supertrend Multi Timeframe Based Trading System

Here is the first prototype from Marketcalls which demonstrates multi-timeframe based trading system which compares two timeframes (5min and hourly in this case) and takes a trade decision based on both the timeframes. To demonstrate with simple example we used supertrend on 5min timeframe and Hull RSI on the hourly timeframe to filter unwanted trading signals.

Trading Logic

Go long if Hourly HRSI is trending upwards and Supertrend turns to buy mode on 5min charts
Exit long if Supertrend turns to sell mode (i.e Trailing Stop hits on closing basis) on 5min charts

Go Short if Hourly HRSI is trending downwards and Supertrend turns to short mode on 5min charts
Exit Short if Supertrend turns to sell mode (i.e Training Stop hits on closing basis) on 5min charts

Bank Nifty Futures showing Supertrend Along with Hourly HRSI indicator as a filter

Download Supertrend with Multitimeframe Filter – Amibroker AFL Code

Here is the backtested results for Bank Nifty Futures (5min charts) Since SEP 2010 onwards with Brokerage + Other Transaction costs added as 0.02%
Max open position is taken based on 15% of the available capital.

Equity Curve

Drawdown

Download the Backtest Result

Multi Supertrend V3.0-20170224141735498

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