Strategy Report: Supertrend strategy

| Strategy Description

The Supertrend Strategy is a trend trading strategy developed by Olivier Seban that uses the Supertrend indicator to identify and trade trends in the financial markets. This strategy focuses on entering the market in line with the main trend and exiting the market when the trend begins to reverse. The strategy is traded on the top 10 markets in the Russell 1000 index by market cap that meet a profit factor > 2 over the last 5 and 10 years rebalance yearly.

Key StatisticsBacktestLiveBacktestLive
Runtime Days3609{{$KPI-DAYS-LIVE}} Drawdown19.9%{{$KPI-LIVE-DRAWDOWN}}
Turnover1%{{$KPI-LIVE-TURNOVER}} Probabilistic SR10%{{$KPI-LIVE-PSR}}
CAGR7.5%{{$KPI-LIVE-CAGR}} Sharpe Ratio0.4{{$KPI-LIVE-SHARPE}}
Capacity (USD)620M Sortino Ratio0.4{{$KPI-LIVE-SORTINO}}
Trades per Day0.0{{$KPI-LIVE-TRADES-PER-DAY}} Information Ratio-0.3{{$KPI-LIVE-INFORMATION-RATIO}}
Monthly Returns
Cumulative Returns
Annual Returns
Returns Per Trade
Asset Allocation
Drawdown
Strategy Report Summary: Supertrend strategy
Daily Returns
Rolling Portfolio Beta
Rolling Sharpe Ratio
Leverage
Long-Short Exposure
Strategy Report Summary: Supertrend strategy
Market Sell-Off 2015
New Normal 2014-2019
COVID-19 Pandemic 2020
Post-COVID Run-up 2020-2021
Meme Season 2021
Russia Invades Ukraine 2022-2023
AI Boom 2022-Present
Strategy Report Summary: Supertrend strategy
Parameters
symbols AMZN