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 Supertrend (CAGR 92.9%, MDD -49.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.5%, drawdown -98.3%).
Sharpe leader (same as main): Supertrend — CAGR 92.9%, MDD -49.0%, Sharpe 1.15, 41% exposure.
Return/drawdown alternative: Supertrend — CAGR is 100.4%p higher than buy and hold, while drawdown improves by 49.2%p (CAGR 92.9%, MDD -49.0%, exposure 41%).
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=12, mult=1.4 |
92.9% | -49.0% | 1.15 | 1.90 | 388.7x | 192 | 41% |
| Parabolic SAR step=0.065, maxStep=0.12 |
65.1% | -68.8% | 1.00 | 0.95 | 94.7x | 354 | 47% |
| 볼린저 밴드 돌파 n=17, k=1.7 |
59.0% | -61.6% | 0.97 | 0.96 | 67.3x | 147 | 32% |
| MACD fast=12, slow=50, signal=6 |
61.5% | -77.3% | 0.96 | 0.80 | 77.6x | 235 | 52% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=25, mult=1.5 |
56.1% | -52.7% | 0.95 | 1.07 | 56.9x | 71 | 28% |
| ADX / DI 방향성 period=6, threshold=24 |
59.0% | -66.8% | 0.93 | 0.88 | 67.3x | 335 | 42% |
| EMA 크로스오버 fast=4, slow=12 |
56.7% | -60.8% | 0.91 | 0.93 | 58.9x | 239 | 45% |
| ROC 모멘텀 n=11, threshold=0.04 |
51.8% | -82.9% | 0.87 | 0.62 | 44.1x | 345 | 35% |
| SMA 크로스오버 fast=2, slow=24 |
43.3% | -64.7% | 0.82 | 0.67 | 26.2x | 219 | 45% |
| Donchian 채널 돌파 entryN=33, exitN=11 |
35.4% | -69.1% | 0.75 | 0.51 | 15.6x | 63 | 28% |
| Buy and hold | -7.5% | -98.3% | 0.43 | -0.08 | 0.5x | 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) — 12-day volatility, 1.4× band
- Sell — Sell when price drops below the trend line (flips down)