Supertrend (10, 3) — Disproof verdict

The "just follow the colour" system — green means long, red means flat or short. Marketed as removing emotion from trend trading entirely.

Verdict: dead — grade F, 0 of 2 markets survived, tested on BTCUSDT from 2023-05-16 to 2026-08-30.

At zero cost: +53.4%
With real costs (15bps + 2bps slippage): +46.5%
Out-of-sample: -5.5%
Buy and hold over the same window: +190.9% (the strategy is 144.4 points behind buy and hold)

Rules tested

strategy "Supertrend (10, 3)"  (long)
indicators:
  dir = supertrend_dir(10)

entry: when dir crosses above 0
exit:  when dir crosses below 0
# fills next open · fees+slippage on · 70/30 OOS · deflated-Sharpe gate

How this was reconstructed

Literal at the default ATR(10) × 3 settings: long when the trend direction flips positive, flat when it flips negative. Direction is the ±1 series, so a cross of zero is exactly the colour change.