SmartVol SuperTrend | Oquant

Overview
The SmartVol SuperTrend indicator is a trend-following tool blending price smoothing with volume-informed volatility to generate dynamic bands. It identifies potential long and short entry points based on trend direction, while incorporating comprehensive performance metrics to evaluate its effectiveness against buy-and-hold strategies(Remember past performance doesn’t guarantee future results). This indicator overlays directly on price charts, visually highlighting trend shifts with colored bands and bar highlights. It also computes an equity curve and risk-adjusted metrics like Sharpe, Sortino, and Omega ratios, making it ideal for backtesting and live trading scenarios. By factoring in volume-weighted elements, it aims to provide more robust signals in volatile markets.

Key Factors/Components
Price Smoothing (EMA): Uses an Exponential Moving Average (EMA) to filter out noise from the selected price source, creating a baseline for trend detection.
Volume-Weighted Volatility: Incorporates a custom volume-weighted standard deviation to measure market volatility, ensuring bands adapt to trading activity rather than just price swings.
Dynamic Bands and Trend Direction: Builds upper and lower bands around the smoothed price, adjusting them based on volume weighted volatility and prior levels to avoid whipsaws, and determines bullish or bearish trends.
Signal Generation: Produces long (bullish) or short (bearish) signals when the trend direction shifts, with options to enable/disable longs or shorts.
Performance Metrics: Calculates key trading statistics including maximum drawdown (overall and intra-trade), Sharpe ratio, Sortino ratio, Omega ratio, percent profitable trades, profit factor, total trades, and net profit for the indicator.
Buy-and-Hold Comparison: Provides parallel metrics for a simple buy-and-hold approach on the underlying asset, allowing users to benchmark performance(Remember past performance doesn’t guarantee future results).
Visual Elements: Plots trend lines in green (up) or purple (down), colors bars accordingly, fills areas for clarity, and optionally plots the strategy's equity curve. Tables display metrics and current allocation (e.g., LONG, SHORT, CASH).
Alerts: Triggers optional notifications for bullish or bearish signals.

How It Works
The indicator starts by smoothing the input price source using an EMA to establish a central trend line. It then applies a volume-weighted standard deviation measure to create adaptive upper and lower bands, scaled by a user-defined factor. The trend direction is determined by comparing the current price to these bands: crossing above the upper band signals a potential uptrend (long), while crossing below the lower band indicates a downtrend (short). Signals are filtered to allow only longs, only shorts, or both, defaulting to cash positions when disabled. From these signals, it simulates a strategy's equity curve by compounding returns, tracking drawdowns, and computing risk-adjusted metrics that account for both upside performance and downside risk. Tables and visuals update in real-time to show allocation and metrics, enabling quick assessment.

For Who Is Best/Recommended Use Cases
This indicator is best suited for traders who focus on trend-following strategies in volatile assets. It's particularly recommended for:
Trend Traders: Those seeking to capture medium- to long-term trends while adapting to volume-driven volatility spikes.
Risk-Aware Investors: Users who prioritize metrics like drawdown and Sharpe ratios to compare strategies against passive holding.
Alert-Based Traders: Perfect for setting up notifications in automated or semi-automated systems.
Portfolio Managers: Helpful for evaluating asset allocation by toggling longs/shorts and viewing equity curves. It's not ideal for high-frequency scalping or purely mean-reversion strategies, as it emphasizes directional momentum.

Settings and Default Settings
Start Date: Defines the beginning of the backtest period (default: January 1, 2018).
Source: The price input for calculations (default: close price).
EMA Length: Period for the Exponential Moving Average smoothing (default: 5; shorter for sensitivity, longer for stability).
Volume Weighted Standard Deviation Length: Window for volume weighted standard deviation calculation (default: 30).
Factor: Multiplier for band width (default: 1.8; higher values widen bands for fewer signals, lower for more aggressive entries).
Allow Long Trades: Enables long positions (default: true; if false, longs default to cash).
Allow Shorts: Enables short positions (default: false; if false, shorts default to cash).
Show Indicator Metrics Table: Displays strategy performance table (default: true).
Show Buy&Hold Table: Displays benchmark metrics table (default: true).
Plot Equity Curve: Shows the strategy's compounded equity line (default: false; enable for visual backtesting).

Conclusion
The SmartVol SuperTrend indicator offers a volume-enhanced twist on classic trend tools, delivering actionable signals alongside in-depth metrics to help traders make informed decisions. By integrating adaptive volatility with performance analytics, it bridges the gap between simple overlays and full strategy evaluation, potentially improving risk-reward profiles in trending markets.
Disclaimer

⚠️ Disclaimer: This indicator is intended for educational and informational purposes only. Trading/investing involves risk, and past performance does not guarantee future results. Always test and evaluate indicators/strategies before applying them in live markets. Use at your own risk.