Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Ethereum Classic backtest
10 trend-following strategies were compared on the full daily history of Ethereum Classic. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 59.0%, MDD -44.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.2%, drawdown -95.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 59.0%, MDD -44.1%, Sharpe 1.06, 17% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 67.2%p higher than buy and hold, while drawdown improves by 51.4%p (CAGR 59.0%, MDD -44.1%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=17, k=2.6 |
59.0% | -44.1% | 1.06 | 1.34 | 45.1x | 59 | 17% |
| Donchian 채널 돌파 entryN=33, exitN=3 |
41.2% | -54.4% | 0.89 | 0.76 | 17.1x | 64 | 13% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=7, mult=1.7 |
33.0% | -61.5% | 0.75 | 0.54 | 10.4x | 65 | 20% |
| SMA 크로스오버 fast=9, slow=66 |
33.1% | -73.0% | 0.74 | 0.45 | 10.5x | 61 | 39% |
| EMA 크로스오버 fast=19, slow=33 |
31.9% | -71.9% | 0.73 | 0.44 | 9.8x | 59 | 38% |
| ADX / DI 방향성 period=33, threshold=12 |
30.7% | -69.4% | 0.71 | 0.44 | 9.0x | 75 | 29% |
| Supertrend period=4, mult=4.5 |
29.6% | -72.7% | 0.71 | 0.41 | 8.4x | 31 | 52% |
| ROC 모멘텀 n=31, threshold=0.01 |
30.1% | -74.8% | 0.71 | 0.40 | 8.7x | 191 | 40% |
| MACD fast=16, slow=58, signal=19 |
18.0% | -85.2% | 0.58 | 0.21 | 3.9x | 129 | 52% |
| Parabolic SAR step=0.035, maxStep=0.12 |
8.6% | -86.3% | 0.45 | 0.10 | 2.0x | 272 | 45% |
| Buy and hold | -8.2% | -95.5% | 0.40 | -0.09 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 17-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 17-day middle average