indicator-trendmedium-high risk
Supertrend Strategy (Crypto Perps)
Does the Supertrend indicator work on crypto perps? Backtested on real Hyperliquid perps from 2024-08-15 to 2026-09-29, the default settings earned a Sharpe of 0.99 — +105.0% total return with a 31.6% worst drawdown across 679 trades in 270 positions, net of fees, slippage, and funding.
By Keel Research · Data as of 2026-09-29 · how this backtest was produced
Sharpe
0.99
default settings
Total return
+105.0%
Worst drawdown
−31.6%
Trades
679
2024-08-15 → 2026-09-29 · net of fees, slippage, and funding · price-only Sharpe 1.06 · these are the default settings, not a hand-picked best case.
At $1,000, this strategy’s worst historical dip was about $316. Free account, your own Hyperliquid keys — Keel only trades.
How it works
How it works
Supertrend is a volatility-adaptive trend follower: it draws bands a set distance (measured in ATR) around price, the bands lock as a trend develops, and the signal flips only when price decisively breaks the opposite band. Applied long-short across the top-20 Hyperliquid perps — long when a coin's Supertrend points up, short when it points down — the book is always in the market and captures the persistence of major-coin trends in both directions. Positions are sized inverse to each coin's volatility so no single name dominates risk, and trades fire only when a position drifts far enough from target, keeping turnover low.
When it works best
Sustained directional moves in liquid majors, up or down. The band-locking holds a position through the noise that would shake a plain moving-average crossover out early, and because it can go short, it keeps working through bear markets instead of sitting in cash. Turnover stays low — 679 trades over the window — so fees are a minor drag.
When it struggles
Range-bound, choppy markets are the weak spot: the bands flip back and forth, and each flip is a whipsaw loss. The edge also lives in the liquid majors — pushing into broader, noisier universes of alt and meme perps steadily erodes it — and the fast retail default settings are far too twitchy on daily crypto bars.
How it’s built
The exact strategy behind this backtest — no black box. Switch to code to see or copy the full definition.
Configuration
Globalsconfig
target_timeframe1dbar_offset12h
UniverseassetsTop by Volume · HL Perps · 20 assets20 resolved
Executiontrading
rebalanceBufferedbuffer_threshold0.2buffer_moderelative+1
Pipeline7 steps
PriceDataLoaderData Loader
ohlcv_1dstore
ReturnVolatilityIndicator
window36d
return_volstore
ohlcv_1dload
SuperTrendIndicator
period20multiplier3
VolWeightSizerPosition Sizer
vol_slotreturn_voltarget_leverage1max_weight0.15
Globals(target_timeframe="1d", bar_offset="12h")Universe(mode="top_volume", top_n=20, market="perp", resolved=["BNB", "BTC", "DOGE", "ETH", "FARTCOIN", "GRAM", "HYPE", "LINK", "LIT", "NEAR", "PUMP", "SOL", "SUI", "VVV", "WLD", "XPL", "XRP", "ZEC", "kBONK", "kPEPE"], resolved_at="2026-07-06T17:50:20.658978+00:00")Execution( rebalance="buffered", buffer_threshold=0.2, buffer_mode="relative", rebalance_method="to_edge",)Pipeline([ PriceDataLoader(), Store("ohlcv_1d"), ReturnVolatility(window="36d"), Store("return_vol"), Load("ohlcv_1d"), SuperTrend(period=20, multiplier=3.0), VolWeightSizer(vol_slot="return_vol", target_leverage=1.0, max_weight=0.15),], name="supertrend_crypto")Explore the settings
precomputed · updates instantlyAdjust a setting to see the exact backtested result — including the ones that lost money.
Complete 12-cell public cross-product on explicit resolved universes.
ATR lookback
ATR band multiplier
Sharpe
0.99
Return
105.0%
Worst DD
−31.6%
Trades
679
At $1,000, these settings' worst historical dip was about $316. You land in the editor with this exact setup. Free account, your own keys.
Compare all 12 settings
| Settings | Sharpe | Return | Worst DD | Trades |
|---|---|---|---|---|
| ATR 10 · ATR 2 | 0.63 | 46.2% | −31.0% | 820 |
| ATR 10 · ATR 3 | 0.59 | 40.9% | −33.9% | 702 |
| ATR 10 · ATR 4 | 0.62 | 44.9% | −42.7% | 656 |
| ATR 14 · ATR 2 | 0.67 | 50.1% | −30.4% | 806 |
| ATR 14 · ATR 3 | 0.96 | 98.1% | −31.4% | 674 |
| ATR 14 · ATR 4 | 0.87 | 83.8% | −43.5% | 642 |
| ATR 20 · ATR 2 | 0.82 | 73.2% | −28.3% | 803 |
| ATR 20 · ATR 3default | 0.99 | 105.0% | −31.6% | 679 |
| ATR 20 · ATR 4 | 0.83 | 75.3% | −42.5% | 653 |
| ATR 30 · ATR 2 | 0.70 | 52.8% | −29.9% | 788 |
| ATR 30 · ATR 3 | 0.74 | 63.1% | −38.7% | 680 |
| ATR 30 · ATR 4 | 0.57 | 39.4% | −47.9% | 674 |
The data
Monthly returns
| Month | Return |
|---|---|
| 2024-08 | 0.0% |
| 2024-09 | +27.7% |
| 2024-10 | -12.5% |
| 2024-11 | +40.3% |
| 2024-12 | -10.9% |
| 2025-01 | +0.3% |
| 2025-02 | +19.9% |
| 2025-03 | -2.9% |
| 2025-04 | -10.5% |
| 2025-05 | -1.9% |
| 2025-06 | -2.0% |
| 2025-07 | +0.6% |
| 2025-08 | -6.7% |
| 2025-09 | -0.8% |
| 2025-10 | +5.2% |
| 2025-11 | +12.0% |
| 2025-12 | +6.1% |
| 2026-01 | -5.2% |
| 2026-02 | +20.8% |
| 2026-03 | -2.0% |
| 2026-04 | -8.1% |
| 2026-05 | +1.1% |
| 2026-06 | +13.3% |
| 2026-07 | -8.2% |
| 2026-08 | +8.9% |
| 2026-09 | +6.0% |
Which assets it traded
| Avg allocation | Days held | % of time held | Asset |
|---|---|---|---|
| -0.0154 | 755 | 97.42 | BNB |
| 0.0107 | 755 | 97.42 | BTC |
| -0.0264 | 755 | 97.42 | DOGE |
| -0.0061 | 755 | 97.42 | ETH |
| -0.0158 | 755 | 97.42 | LINK |
| -0.0136 | 755 | 97.42 | NEAR |
| -0.01 | 755 | 97.42 | SOL |
| -0.0268 | 755 | 97.42 | SUI |
| -0.0205 | 755 | 97.42 | WLD |
| -0.0372 | 755 | 97.42 | XRP |
| -0.0197 | 755 | 97.42 | kBONK |
| -0.0218 | 755 | 97.42 | kPEPE |
| 0.0186 | 643 | 82.97 | HYPE |
| -0.0105 | 628 | 81.03 | FARTCOIN |
| -0.0007 | 589 | 76 | VVV |
| -0.0159 | 426 | 54.97 | PUMP |
| -0.0137 | 383 | 49.42 | XPL |
| -0.0023 | 352 | 45.42 | ZEC |
| 0.0102 | 260 | 33.55 | LIT |
| 0.0738 | 69 | 8.9 | GRAM |
What this is: a historical backtest on real Hyperliquid market data, net of fees, slippage, and funding. Its worst historical drawdown was 31.6% — expect drawdowns of that order or worse. Past performance does not predict future results, and this is not investment advice. Size your account so a full drawdown is survivable.