Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Shiba Inu backtest
10 trend-following strategies were compared on the full daily history of Shiba Inu. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 49.9%, MDD -32.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -30.5%, drawdown -94.8%).
Sharpe leader (same as main): MACD — CAGR 85.3%, MDD -60.7%, Sharpe 1.07, 49% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 115.8%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 49.9%, MDD -32.0%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=17, slow=60, signal=21 |
85.3% | -60.7% | 1.07 | 1.41 | 26.4x | 51 | 49% |
| Donchian 채널 돌파 entryN=109, exitN=6 |
49.9% | -32.0% | 0.91 | 1.56 | 8.6x | 8 | 6% |
| Supertrend period=29, mult=2.4 |
52.0% | -64.6% | 0.86 | 0.81 | 9.2x | 42 | 31% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=24, mult=1.4 |
49.1% | -66.1% | 0.84 | 0.74 | 8.4x | 42 | 18% |
| 볼린저 밴드 돌파 n=36, k=1.7 |
44.5% | -61.8% | 0.80 | 0.72 | 7.1x | 43 | 24% |
| SMA 크로스오버 fast=9, slow=36 |
37.4% | -76.9% | 0.74 | 0.49 | 5.4x | 53 | 39% |
| ROC 모멘텀 n=61, threshold=0.01 |
35.5% | -67.6% | 0.72 | 0.53 | 5.0x | 73 | 35% |
| Parabolic SAR step=0.015, maxStep=0.1 |
28.4% | -83.0% | 0.66 | 0.34 | 3.8x | 97 | 42% |
| EMA 크로스오버 fast=18, slow=19 |
24.1% | -78.4% | 0.62 | 0.31 | 3.1x | 49 | 36% |
| ADX / DI 방향성 period=10, threshold=29 |
14.1% | -69.2% | 0.49 | 0.20 | 2.0x | 83 | 23% |
| Buy and hold | -30.5% | -94.8% | 0.22 | -0.32 | 0.1x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (17/60) crosses above its 21-day signal line
- Sell — Sell when the MACD line crosses back below the signal line