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.
BACKTEST RESULTS AS OF 25/03/2026 (365 day lookback):

Signals: 151 total, 151 filled, 0 unfilled
Total P&L: 968.63
Final capital: 1968.63
Total Trades: 151
Exits: 24 stop loss, 70 take profit, 57 signal
Total Wins: 84
Win Rate: 55.6%
Avg Win Size: 13.21
Avg Loss Size: -6.79
Profit Factor: 1.94
Avg Position Size: 3 units
Avg Trade Length: 5h 19m
Sharpe Ratio: 2.90
Sortino Ratio: 4.55
Max Drawdown: -6.3%
CAGR: 99.2%
Ann. Volatility: 16.9%
Performance By Direction:
  Long: 151 trades, 55.6% win rate, Avg P&L 6.41
Performance By Session:
  Asia: 4 trades, 75.0% win rate, Avg P&L 15.67
  Overlap: 79 trades, 57.0% win rate, Avg P&L 6.50
  Us_Late: 44 trades, 54.5% win rate, Avg P&L 7.80
  Dead: 24 trades, 50.0% win rate, Avg P&L 2.06

Recent 14-Day Backtest

Trade History