Your idea: CONTROLLED SUPERTREND ROBUSTNESS TEST — DRAWDOWN FIRST Use the exac…

CONTROLLED SUPERTREND ROBUSTNESS TEST — DRAWDOWN FIRST Use the exact BASE strategy below. Do NOT change the 7/7 rules, signal-day volume rule, breakout, gap rule, pivot stop, ALL-stock breadth, position sizing, 10-position cap, aggregate-risk cap, transaction costs, or 20-day exit. The ONLY variable being tested is the Supertrend filter. ================================================== BASE STRATEGY ================================================== 7/7 signal: 1. Close >= 1.10 × SMA200 2. 252-session return >= 20% 3. Close >= 98% of highest CLOSE over previous 252 completed sessions 4. EMA20 > EMA50 5. Close > upper 20-period Bollinger Band, 2 SD 6. Close > SMA20, SMA50, SMA100 and SMA200 7. 126-session return >= 20% AND RSI14 >= 60 Fresh signal: 7/7 today AND not 7/7 on previous available session. Signal-day volume: today's full-session volume > average volume of previous 20 completed sessions. Next-day entry: breakout = signal-day high × 1.005 gap ceiling = signal-day high × 1.02 If next-day open > gap ceiling: skip If next-day open >= breakout and <= gap ceiling: enter at open Otherwise: enter when next-day high reaches breakout. Initial stop: latest confirmed 5-bar pivot low × 0.995 ALL-STOCK breadth: bullish >=60% neutral 40% to <60% bearish <40% Risk: bullish = 0.50% neutral = 0.25% bearish = 0% Starting capital = ₹5,00,000 Maximum positions = 10 Maximum aggregate initial risk = 5% No leverage 0.11% round-trip cost 20 trading-day fixed exit ================================================== SUPERTREND TEST GRID ================================================== Test these PRE-DECLARED configurations only: A. No Supertrend filter (BASE) B. ATR 7, multiplier 2.0 C. ATR 7, multiplier 3.0 D. ATR 7, multiplier 4.0 E. ATR 10, multiplier 2.0 F. ATR 10, multiplier 3.0 G. ATR 10, multiplier 4.0 H. ATR 14, multiplier 2.0 I. ATR 14, multiplier 3.0 J. ATR 14, multiplier 4.0 For each Supertrend version: trade is allowed only when Supertrend is bullish. The Supertrend state must be known no later than the signal-day close. No future data. Do NOT test any other settings. ================================================== TEST DESIGN ================================================== Development: 2021-01-01 to 2024-12-31 OOS: 2025-01-01 to latest available completed session Freeze the grid before viewing results. Do not select the best configuration using the OOS period. ================================================== PRIMARY OBJECTIVE ================================================== We are specifically trying to reduce drawdown. Rank configurations using this order: 1. OOS maximum drawdown 2. OOS profit factor 3. OOS return 4. OOS median trade 5. OOS trade frequency Do NOT select the configuration with the highest historical return. ================================================== ACCEPTANCE RULE ================================================== A Supertrend configuration is interesting only if BOTH: 1. OOS maximum drawdown is materially lower than BASE AND 2. OOS PF is not materially worse than BASE Preferably: OOS PF >= 1.50 AND OOS max DD at least 20% smaller than BASE while retaining reasonable trade frequency. If no configuration meets this standard, conclude that Supertrend does not provide useful drawdown control. ================================================== REPORT ================================================== For every configuration report: FULL PERIOD: - return - CAGR - max DD - DD duration - PF - win rate - median trade - trades - average exposure - turnover OOS: - return - max DD - PF - win rate - median trade - trades - exposure Also report: - number of signals rejected by Supertrend - actual trades removed - losing streak - worst year - worst month ============