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 2026-07-05, the default settings earned a Sharpe of 1.07 — +89.1% total return with a 26.7% worst drawdown across 471 trades, net of fees, slippage, and funding.
By Keel Research · Data as of 2026-07-05 · how this backtest was produced
Sharpe
1.07
default settings
Total return
+89.1%
Worst drawdown
−26.7%
Trades
471
2024-08-15 → 2026-07-05 · net of fees, slippage, and funding · price-only Sharpe 1.12 · these are the default settings, not a hand-picked best case.
At $1,000, this strategy’s worst historical dip was about $267. 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 — 471 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 assets
Executiontrading
rebalanceBufferedbuffer_threshold0.2buffer_moderelative+1
Pipeline8 steps
PriceDataLoaderData Loader
timeframe15min
TargetTimeframeResamplerData Transform
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=[], resolved_at="")Execution( rebalance="buffered", buffer_threshold=0.2, buffer_mode="relative", rebalance_method="to_edge",)Pipeline([ PriceDataLoader(timeframe="15min"), TargetTimeframeResampler(), 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.
Drift before rebalancing
ATR band width multiplier
ATR lookback (days)
Universe size (top by volume)
Sharpe
1.07
Return
89.1%
Worst DD
−26.7%
Trades
471
At $1,000, these settings' worst historical dip was about $267. You land in the editor with this exact setup. Free account, your own keys.
Compare all 19 settings
| Settings | Sharpe | Return | Worst DD | Trades |
|---|---|---|---|---|
| Drift 0.2 · ATR 2 · ATR 10 · Universe 30 | 0.20 | 0.7% | −37.1% | 1,030 |
| Drift 0.2 · ATR 3 · ATR 10 · Universe 30 | 0.39 | 15.1% | −32.9% | 822 |
| Drift 0.2 · ATR 4 · ATR 10 · Universe 30 | 0.06 | -9.7% | −43.4% | 785 |
| Drift 0.2 · ATR 2 · ATR 14 · Universe 30 | 0.21 | 1.6% | −30.9% | 985 |
| Drift 0.2 · ATR 3 · ATR 14 · Universe 30 | 0.73 | 48.6% | −33.8% | 780 |
| Drift 0.2 · ATR 4 · ATR 14 · Universe 30 | 0.56 | 30.1% | −36.8% | 735 |
| Drift 0.2 · ATR 2 · ATR 20 · Universe 30 | 0.58 | 31.7% | −29.9% | 956 |
| Drift 0.2 · ATR 3 · ATR 20 · Universe 30 | 0.88 | 67.3% | −30.7% | 747 |
| Drift 0.2 · ATR 4 · ATR 20 · Universe 30 | 0.50 | 25.1% | −39.6% | 768 |
| Drift 0.2 · ATR 2 · ATR 30 · Universe 30 | 0.51 | 25.1% | −26.0% | 944 |
| Drift 0.2 · ATR 3 · ATR 30 · Universe 30 | 0.63 | 38.4% | −37.7% | 740 |
| Drift 0.2 · ATR 4 · ATR 30 · Universe 30 | 0.48 | 23.5% | −40.2% | 789 |
| Drift 0.1 · ATR 3 · ATR 20 · Universe 30 | 0.78 | 59.1% | −34.2% | 1,855 |
| Drift 0.3 · ATR 3 · ATR 20 · Universe 30 | 0.90 | 62.6% | −27.7% | 537 |
| Drift 0.2 · ATR 3 · ATR 20 · Universe 40 | 0.71 | 47.5% | −30.2% | 1,026 |
| Drift 0.2 · ATR 3 · ATR 20 · Universe 50 | 0.63 | 36.8% | −26.4% | 1,201 |
| Drift 0.2 · ATR 3 · ATR 20 · Universe 15 | 1.36 | 122.1% | −24.4% | 327 |
| Drift 0.3 · ATR 3 · ATR 20 · Universe 20 | 1.11 | 83.9% | −22.9% | 349 |
| Drift 0.2 · ATR 3 · ATR 20 · Universe 20default | 1.07 | 89.1% | −26.7% | 471 |
The data
Monthly returns
| Month | Return |
|---|---|
| 2024-08 | 0.0% |
| 2024-09 | +16.8% |
| 2024-10 | -8.9% |
| 2024-11 | +27.0% |
| 2024-12 | -8.3% |
| 2025-01 | +4.1% |
| 2025-02 | +17.1% |
| 2025-03 | -7.2% |
| 2025-04 | -1.4% |
| 2025-05 | -3.8% |
| 2025-06 | -2.2% |
| 2025-07 | -2.7% |
| 2025-08 | -4.4% |
| 2025-09 | +3.4% |
| 2025-10 | +12.7% |
| 2025-11 | +10.8% |
| 2025-12 | +3.5% |
| 2026-01 | -2.8% |
| 2026-02 | +18.6% |
| 2026-03 | +0.6% |
| 2026-04 | -7.7% |
| 2026-05 | +4.7% |
| 2026-06 | +9.2% |
| 2026-07 | -4.5% |
Which assets it traded
| Share of return | avg abs weight when held | Days held | long share pct | % of time held | Asset |
|---|---|---|---|---|---|
| 13.12 | 0.05 | 689 | 26 | 100 | SUI |
| 12.93 | 0.05 | 689 | 25.1 | 100 | FARTCOIN |
| 9.96 | 0.0499 | 689 | 9.1 | 100 | XPL |
| 9.48 | 0.05 | 689 | 25.3 | 100 | kPEPE |
| 9.07 | 0.05 | 689 | 31.2 | 100 | DOGE |
| 5.36 | 0.05 | 689 | 25.7 | 100 | XRP |
| 4.95 | 0.0499 | 689 | 14.5 | 100 | ZEC |
| 4.79 | 0.05 | 689 | 29.2 | 100 | kBONK |
| 4.67 | 0.05 | 689 | 30.8 | 100 | LINK |
| 4.45 | 0.0501 | 689 | 46.7 | 100 | BTC |
| 4.27 | 0.05 | 689 | 33.5 | 100 | SOL |
| 3.49 | 0.05 | 689 | 40.8 | 100 | ETH |
| 2.8 | 0.05 | 689 | 12.2 | 100 | PUMP |
| 2.74 | 0.05 | 689 | 57.5 | 100 | HYPE |
| 0.7 | 0.05 | 689 | 41.2 | 100 | VVV |
| 0 | null | 689 | 0 | 100 | GRAM |
| -1.2 | 0.0499 | 689 | 14.4 | 100 | LIT |
| -1.77 | 0.0501 | 689 | 39.2 | 100 | BNB |
| -2.64 | 0.05 | 689 | 33.4 | 100 | NEAR |
| -8.13 | 0.05 | 689 | 27.9 | 100 | WLD |
How it did in rising vs falling markets
| Market | Days | Return | Sharpe |
|---|---|---|---|
| Rising markets | 289 | +25.5% | 1.03 |
| Falling markets | 397 | +53.3% | 1.14 |
What this is: a historical backtest on real Hyperliquid market data, net of fees, slippage, and funding. Its worst historical drawdown was 26.7% — 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.