Overview

This is an intraday short-term trend following strategy based on the Supertrend indicator. Users can define the intraday trading session during which the strategy will run.

The strategy reverses the position using double quantity when the signal changes. Any open positions are squared off at the end of the intraday session.

Strategy Logic

1. Calculate the Supertrend indicator based on user defined multiplier and ATR period.

2. Plot the Supertrend line as the support and resistance.

3. Determine long/short conditions. Close above Supertrend line is long condition. Close below Supertrend line is short condition.

4. Check if current bar is within intraday session defined by user.

5. Issue long/short signals only when intraday session is active and long/short conditions are met.

6. Reverse position by taking opposite trade with double quantity when Supertrend direction changes.

7. Square off open positions when Supertrend direction is unchanged and intraday session ends.

Advantage Analysis

1. Supertrend identifies trend and reduces false signals.

2. Combining Supertrend with close price avoids being stopped out prematurely.

3. Reversing position timely reduces losses.

4. Intraday session avoids overnight risk.

5. Forced exit avoids risk of forgetting to square off.

Risk Analysis

1. Improper Supertrend parameters may lead to poor strategy performance.

2. Reversing position increases trade frequency and costs.

3. Forced exit at session end may lead to losses.

• Risk 1 can be mitigated through parameter optimization.

• Risk 2 can be controlled via stop loss.

• Risk 3 can be avoided using stop loss or trend filter.

Enhancement Opportunities

1. Test different trend indicators like MA, KDJ etc.

2. Add stop loss logic.

3. Add trend filter to avoid forced exit losses.

4. Optimize multiplier and ATR period parameters.

5. Test on different instruments.

Conclusion

This strategy combines Supertrend and intraday session management to capitalize on short-term trend breaks. Position reversal and forced exit effectively controls risk. Further improvements can be made through parameter optimization, stop loss and trend filtering.