Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Ethereum backtest
10 trend-following strategies were compared on the full daily history of Ethereum. 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 72.9%, MDD -43.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 26.1%, drawdown -94.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 72.9%, MDD -43.5%, Sharpe 1.26, 42% exposure.
CAGR reference leader: MACD — CAGR 75.3%, MDD -52.6%, exposure 52%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 46.8%p higher than buy and hold, while drawdown improves by 50.5%p (CAGR 72.9%, MDD -43.5%, exposure 42%).
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=38, k=1 |
72.9% | -43.5% | 1.26 | 1.68 | 140.8x | 89 | 42% |
| Supertrend period=29, mult=3 |
71.4% | -54.5% | 1.24 | 1.31 | 130.2x | 63 | 45% |
| MACD fast=19, slow=54, signal=15 |
75.3% | -52.6% | 1.22 | 1.43 | 159.3x | 117 | 52% |
| Parabolic SAR step=0.005, maxStep=0.2 |
62.6% | -54.4% | 1.13 | 1.15 | 80.9x | 95 | 47% |
| SMA 크로스오버 fast=10, slow=36 |
65.8% | -64.9% | 1.13 | 1.01 | 96.6x | 91 | 50% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=8, mult=2.1 |
52.8% | -52.2% | 1.07 | 1.01 | 46.0x | 51 | 35% |
| EMA 크로스오버 fast=16, slow=32 |
59.8% | -57.4% | 1.07 | 1.04 | 69.3x | 69 | 50% |
| Donchian 채널 돌파 entryN=36, exitN=19 |
51.7% | -63.5% | 1.02 | 0.81 | 43.2x | 47 | 44% |
| ROC 모멘텀 n=28, threshold=0.11 |
48.9% | -50.9% | 1.02 | 0.96 | 36.5x | 181 | 33% |
| ADX / DI 방향성 period=15, threshold=7 |
52.0% | -57.2% | 1.01 | 0.91 | 43.9x | 197 | 45% |
| Buy and hold | 26.1% | -94.0% | 0.71 | 0.28 | 8.1x | 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 38-day average (1× volatility)
- Sell — Sell when the close falls back to the 38-day middle average