Dual SuperTrend w VIX Filter - Strategy [presentTrading] by PresentTrading
By PresentTrading
Performance Metrics
- Author: PresentTrading
- Symbol: BITFINEX:BTCUSD
- Timeframe: 6 hours
- Net P&L: +2,688.70 USD (+26.89%)
- Win Rate: 48.6%
- Profit Factor: 1.36
- Max Drawdown: 723.27 USD (6.05%)
- Total Trades: 788
- Sharpe Ratio: 0.004
Description
Hey everyone! Haven't been here for a long time. Been so busy again in the past 2 months. I recently started working on analyzing the combination of trend strategy and VIX, but didn't get outstanding results after a few tries. Sharing this tool with all of you in case you have better insights.█ Introduction and How it is DifferentThe Dual SuperTrend with VIX Filter Strategy combines traditional trend following with market volatility analysis. Unlike conventional SuperTrend strategies that focus solely on price action, this experimental system incorporates VIX (Volatility Index) as an adaptive filter to create a more context-aware trading approach. By analyzing where current volatility stands relative to historical norms, the strategy adjusts to different market environments rather than applying uniform logic across all conditions.BTCUSD 6hr Long Short Performance█ Strategy, How it Works: Detailed Explanation🔶 Dual SuperTrend CoreThe strategy uses two SuperTrend indicators with different sensitivity settings:- SuperTrend 1: Length = 13, Multiplier = 3.5- SuperTrend 2: Length = 8, Multiplier = 5.0The SuperTrend calculation follows this process:1. ATR = Average of max(High-Low, |High-PreviousClose|, |Low-PreviousClose|) over 'length' periods2. UpperBand = (High+Low)/2 - (Multiplier * ATR)3. LowerBand = (High+Low)/2 + (Multiplier * ATR)Trend direction is determined by:- If Close > previous LowerBand, Trend = Bullish (1)- If Close VIX EMA - VIX Falling = VIX VIX Mean- "Above Mean + SD": VIX > Upper Band 1- "Falling VIX": VIX VIX EMA- "Any": No VIX filtering█ Trade DirectionThe strategy allows testing in three modes:1. **Long Only:** Test volatility effects on uptrends only2. **Short Only:** Examine volatility's impact on downtrends only3. **Both (Default):** Compare how volatility affects both trend directionsThis enables comparative analysis of how volatility regimes impact bullish versus bearish markets differently.█ UsageUse this strategy as an experimental framework:1. Form a hypothesis about how volatility affects trend reliability2. Configure VIX filters to test your specific hypothesis3. Analyze performance across different volatility regimes4. Compare results between uptrends and downtrends5. Refine your volatility filtering approach based on results6. Share your findings with the trading communityThis framework allows you to investigate questions like:- Are uptrends more reliable during rising or falling volatility?- Do downtrends perform better when volatility is above or below its historical average?- Should different volatility filters be applied to long vs. short positions?█ Default SettingsThe default settings serve as a starting point for exploration:SuperTrend Parameters:- SuperTrend 1 (Length=13, Multiplier=3.5): More responsive to trend changes- SuperTrend 2 (Length=8, Multiplier=5.0): More selective filter requiring stronger trendsVIX Analysis Settings:- Lookback Period = 252: Establishes a full market cycle for volatility context- Standard Deviation Bands = 2 and 3 SD: Creates statistically significant regime boundaries- VIX Trend Period = 10: Balances responsiveness with noise reductionDefault VIX Filter Selection:- Long Entry: "Above Mean" - Tests if uptrends perform better during above-average volatility- Short Entry: "Rising VIX" - Tests if downtrends accelerate when volatility is increasingFeel Free to share your insight below!!!