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 1.04 — +86.8% total return with a 28.7% worst drawdown across 476 trades, net of fees, slippage, and funding.
By Keel Research · Data as of 2026-07-05 · how this backtest was produced
Sharpe
1.04
default settings
Total return
+86.8%
Worst drawdown
−28.7%
Trades
476
2024-08-15 → 2026-07-05 · net of fees, slippage, and funding · price-only Sharpe 1.09 · these are the default settings, not a hand-picked best case.
At $1,000, this strategy’s worst historical dip was about $287. 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 assets20 resolved
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=["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(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.
Complete 12-cell public cross-product on explicit resolved universes.
ATR lookback
ATR band multiplier
Sharpe
1.04
Return
86.8%
Worst DD
−28.7%
Trades
476
At $1,000, these settings' worst historical dip was about $287. 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 | 0.59 | 33.3% | −25.1% | 636 |
| ATR 10 · ATR 3 | 0.60 | 34.8% | −30.3% | 527 |
| ATR 10 · ATR 4 | 0.47 | 22.6% | −33.4% | 526 |
| ATR 14 · ATR 2 | 0.44 | 19.5% | −33.7% | 615 |
| ATR 14 · ATR 3 | 1.00 | 81.0% | −25.3% | 500 |
| ATR 14 · ATR 4 | 0.62 | 37.0% | −37.8% | 538 |
| ATR 20 · ATR 2 | 0.74 | 47.6% | −34.8% | 609 |
| ATR 20 · ATR 3default | 1.04 | 86.8% | −28.7% | 476 |
| ATR 20 · ATR 4 | 0.56 | 30.5% | −39.3% | 526 |
| ATR 30 · ATR 2 | 0.78 | 49.5% | −28.9% | 600 |
| ATR 30 · ATR 3 | 0.77 | 52.6% | −32.0% | 471 |
| ATR 30 · ATR 4 | 0.45 | 20.8% | −42.8% | 555 |
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 | -0.8% |
| 2025-04 | -8.6% |
| 2025-05 | -4.1% |
| 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 | -9.0% |
| 2026-05 | +6.0% |
| 2026-06 | +9.1% |
| 2026-07 | -4.3% |
Which assets it traded
| Avg allocation | Days held | % of time held | Asset |
|---|---|---|---|
| -0.0097 | 669 | 97.1 | BNB |
| -0.0179 | 669 | 97.1 | DOGE |
| -0.0019 | 669 | 97.1 | BTC |
| -0.0082 | 669 | 97.1 | ETH |
| -0.0191 | 669 | 97.1 | LINK |
| -0.0156 | 669 | 97.1 | NEAR |
| -0.0129 | 669 | 97.1 | SOL |
| -0.0228 | 669 | 97.1 | SUI |
| -0.024 | 669 | 97.1 | XRP |
| -0.0192 | 669 | 97.1 | WLD |
| -0.0217 | 669 | 97.1 | kBONK |
| -0.024 | 669 | 97.1 | kPEPE |
| 0.0211 | 557 | 80.84 | HYPE |
| -0.0209 | 542 | 78.66 | FARTCOIN |
| 0.0071 | 503 | 73 | VVV |
| -0.025 | 340 | 49.35 | PUMP |
| -0.0292 | 297 | 43.11 | XPL |
| -0.0123 | 266 | 38.61 | ZEC |
| 0.0068 | 174 | 25.25 | LIT |
| 0 | 0 | 0 | GRAM |
What this is: a historical backtest on real Hyperliquid market data, net of fees, slippage, and funding. Its worst historical drawdown was 28.7% — 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.