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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 Statistics | Backtest | Live | Backtest | Live | |
|---|---|---|---|---|---|
| Runtime Days | 3609 | {{$KPI-DAYS-LIVE}} | Drawdown | 19.9% | {{$KPI-LIVE-DRAWDOWN}} |
| Turnover | 1% | {{$KPI-LIVE-TURNOVER}} | Probabilistic SR | 10% | {{$KPI-LIVE-PSR}} |
| CAGR | 7.5% | {{$KPI-LIVE-CAGR}} | Sharpe Ratio | 0.4 | {{$KPI-LIVE-SHARPE}} |
| Capacity (USD) | 620M | Sortino Ratio | 0.4 | {{$KPI-LIVE-SORTINO}} | |
| Trades per Day | 0.0 | {{$KPI-LIVE-TRADES-PER-DAY}} | Information Ratio | -0.3 | {{$KPI-LIVE-INFORMATION-RATIO}} |
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