Strategy Report: adaptive_supertrend

Live Trading Summary

Performance by Version

Equity Curve

Monthly P&L

Backtest Results

Adaptive SuperTrend Oscillator strategy based on trend regime detection.

Mechanism:
  1. SuperTrend is calculated with a fixed ATR multiplier and period.
  2. price_distance = close - supertrend_line (positive when bullish).
  3. An Efficiency Ratio (ER) measures directionality over er_length bars:
         ER = |close - close[er_length]| / sum(|close - close[1]|, er_length)
         ER→1 in trending markets, ER→0 in choppy markets.
  4. adaptive_atr = ER * atr(norm_atr_fast) + (1 - ER) * atr(norm_atr_slow)
         Trending: fast ATR tightens normalization → score amplified.
         Ranging:  slow ATR widens normalization → score dampened.
  5. score = (price_distance / adaptive_atr) * 100
  6. Neutral zone: |score| <= neutral_threshold → no directional signal.
  7. Entry long:  score crosses above +neutral_threshold (trend turned bullish).
     Entry short: score crosses below -neutral_threshold (trend turned bearish).
  8. Exit long:   score turns bearish or neutral.
     Exit short:  score turns bullish or neutral.
  9. Stop loss: supertrend_line ± atr * sl_buffer at entry bar.
  10. Optional trend EMA: when trend_ema_period > 0, only open long if close > EMA
      and only open short if close < EMA (same-timeframe broad direction).
BACKTEST RESULTS AS OF 24/06/2026 (365 day lookback):

Signals: 50 total, 50 filled, 0 unfilled
Total P&L: 807.15
Final capital: 1807.15
Total Trades: 50
Exits: 28 stop loss, 12 take profit, 10 signal
Total Wins: 22
Win Rate: 44.0%
Avg Win Size: 34.18
Avg Loss Size: -18.04
Profit Factor: 1.89
Avg Position Size: 1.20 units
Avg Trade Length: 2d 23h 39m
Sharpe Ratio: 1.98
Sortino Ratio: 5.71
Calmar Ratio: 5.17
Max Drawdown: -16.5%
CAGR: 85.1%
Ann. Volatility: 34.0%
Performance By Direction:
  Long: 50 trades, 44.0% win rate, Avg P&L 16.14
Performance By Session:
  Asia: 2 trades, 50.0% win rate, Avg P&L 30.91
  London: 11 trades, 45.5% win rate, Avg P&L 32.42
  Overlap: 19 trades, 47.4% win rate, Avg P&L 11.49
  Us_Late: 15 trades, 40.0% win rate, Avg P&L 4.77
  Dead: 3 trades, 33.3% win rate, Avg P&L 33.01

Performance By Year:
  2023: 24 trades, Return 50.9%, Sharpe 2.90, Sortino 9.58, Calmar 4.12
  2024: 54 trades, Return 77.4%, Sharpe 2.02, Sortino 5.44, Calmar 10.26
  2025: 53 trades, Return 159.8%, Sharpe 2.95, Sortino 9.93, Calmar 20.96
  2026: 22 trades, Return 1.2%, Sharpe 0.23, Sortino 0.51, Calmar 0.07

Recent 14-Day Backtest

Trade History