Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Bitcoin Cash backtest
10 trend-following strategies were compared on the full daily history of Bitcoin Cash. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 17.2%, MDD -55.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.8%, drawdown -94.2%).
Sharpe leader (same as main): Supertrend — CAGR 24.0%, MDD -69.8%, Sharpe 0.64, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 22.2%p higher than buy and hold, while drawdown improves by 24.4%p (CAGR 17.2%, MDD -55.1%, exposure 14%).
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=5, mult=2.9 |
24.0% | -69.8% | 0.64 | 0.34 | 4.3x | 47 | 51% |
| SMA 크로스오버 fast=32, slow=109 |
19.1% | -76.4% | 0.58 | 0.25 | 3.3x | 26 | 44% |
| Donchian 채널 돌파 entryN=8, exitN=24 |
14.9% | -85.3% | 0.56 | 0.17 | 2.6x | 57 | 75% |
| ROC 모멘텀 n=121, threshold=-0.11 |
15.9% | -73.1% | 0.56 | 0.22 | 2.7x | 88 | 59% |
| ADX / DI 방향성 period=8, threshold=40 |
17.2% | -55.1% | 0.54 | 0.31 | 2.9x | 81 | 14% |
| Parabolic SAR step=0.015, maxStep=0.34 |
15.5% | -66.9% | 0.53 | 0.23 | 2.6x | 153 | 46% |
| EMA 크로스오버 fast=18, slow=105 |
14.6% | -76.5% | 0.53 | 0.19 | 2.5x | 24 | 44% |
| 볼린저 밴드 돌파 n=34, k=2.9 |
16.8% | -59.9% | 0.53 | 0.28 | 2.8x | 31 | 17% |
| MACD fast=12, slow=22, signal=8 |
13.0% | -80.7% | 0.51 | 0.16 | 2.3x | 204 | 51% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=18, mult=2.9 |
4.6% | -75.0% | 0.35 | 0.06 | 1.4x | 31 | 19% |
| Buy and hold | 1.8% | -94.2% | 0.49 | 0.02 | 1.1x | 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) — 5-day volatility, 2.9× band
- Sell — Sell when price drops below the trend line (flips down)