Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Bitcoin backtest
10 trend-following strategies were compared on the full daily history of Bitcoin. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 72.0%, MDD -40.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 47.8%, drawdown -85.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 75.5%, MDD -42.3%, Sharpe 1.58, 37% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 78.8%, MDD -41.6%, exposure 42%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 27.6%p higher than buy and hold, while drawdown improves by 43.4%p (CAGR 72.0%, MDD -40.0%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=11, mult=1.9 |
75.5% | -42.3% | 1.58 | 1.79 | 1249.2x | 91 | 37% |
| 볼린저 밴드 돌파 n=46, k=1.3 |
78.8% | -41.6% | 1.57 | 1.89 | 1582.8x | 83 | 42% |
| Donchian 채널 돌파 entryN=25, exitN=11 |
72.0% | -40.0% | 1.52 | 1.80 | 965.4x | 95 | 41% |
| ADX / DI 방향성 period=26, threshold=8 |
74.4% | -45.6% | 1.48 | 1.63 | 1158.5x | 173 | 50% |
| MACD fast=13, slow=23, signal=19 |
75.9% | -55.0% | 1.43 | 1.38 | 1287.5x | 201 | 53% |
| Supertrend period=7, mult=2.2 |
67.9% | -64.8% | 1.43 | 1.05 | 715.7x | 155 | 47% |
| SMA 크로스오버 fast=4, slow=31 |
69.5% | -52.3% | 1.40 | 1.33 | 802.0x | 187 | 53% |
| EMA 크로스오버 fast=7, slow=99 |
70.2% | -61.4% | 1.36 | 1.14 | 849.2x | 49 | 56% |
| ROC 모멘텀 n=34, threshold=0 |
68.2% | -73.5% | 1.33 | 0.93 | 729.7x | 259 | 55% |
| Parabolic SAR step=0.01, maxStep=0.2 |
48.9% | -58.6% | 1.11 | 0.83 | 155.3x | 195 | 50% |
| Buy and hold | 47.8% | -85.7% | 0.94 | 0.56 | 142.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 30-day average + 1.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 30-day average