Trend-Following Backtester · Guide · backtest 한국어
equity · CA
HIVE Digital Technologies Ltd backtest
10 trend-following strategies were compared on the full daily history of HIVE Digital Technologies Ltd. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 63.6%, MDD -49.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.4%, drawdown -98.4%).
Sharpe leader (same as main): Supertrend — CAGR 63.6%, MDD -49.6%, Sharpe 1.07, 29% exposure.
Return/drawdown alternative: Supertrend — CAGR is 69.0%p higher than buy and hold, while drawdown improves by 48.8%p (CAGR 63.6%, MDD -49.6%, exposure 29%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=4.5 |
63.6% | -49.6% | 1.07 | 1.28 | 81.9x | 28 | 29% |
| 볼린저 밴드 돌파 n=30, k=1.1 |
57.6% | -60.9% | 0.99 | 0.95 | 58.7x | 66 | 33% |
| ROC 모멘텀 n=16, threshold=0.09 |
57.5% | -69.0% | 0.98 | 0.83 | 58.1x | 164 | 31% |
| MACD fast=17, slow=59, signal=19 |
46.1% | -91.0% | 0.86 | 0.51 | 29.8x | 73 | 51% |
| EMA 크로스오버 fast=8, slow=23 |
44.5% | -81.6% | 0.85 | 0.55 | 27.0x | 76 | 41% |
| Parabolic SAR step=0.015, maxStep=0.32 |
43.2% | -91.0% | 0.84 | 0.47 | 24.9x | 151 | 41% |
| ADX / DI 방향성 period=8, threshold=37 |
37.1% | -70.4% | 0.82 | 0.53 | 16.8x | 80 | 16% |
| Donchian 채널 돌파 entryN=39, exitN=9 |
36.1% | -65.6% | 0.81 | 0.55 | 15.8x | 42 | 22% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=19, mult=1.1 |
37.4% | -61.4% | 0.80 | 0.61 | 17.1x | 58 | 32% |
| SMA 크로스오버 fast=24, slow=39 |
31.8% | -70.0% | 0.73 | 0.45 | 11.8x | 58 | 43% |
| Buy and hold | -5.4% | -98.4% | 0.48 | -0.05 | 0.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 28-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)