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 52.4%, MDD -49.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.6%, drawdown -94.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 52.4%, MDD -49.6%, Sharpe 0.98, 19% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 49.8%p higher than buy and hold, while drawdown improves by 45.1%p (CAGR 52.4%, MDD -49.6%, exposure 19%).
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=13, k=2.3 |
52.4% | -49.6% | 0.98 | 1.06 | 50.2x | 110 | 19% |
| Donchian 채널 돌파 entryN=93, exitN=13 |
45.3% | -56.2% | 0.91 | 0.81 | 32.2x | 20 | 15% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=10, mult=3 |
42.7% | -70.1% | 0.87 | 0.61 | 27.2x | 22 | 19% |
| MACD fast=7, slow=52, signal=18 |
41.0% | -69.2% | 0.82 | 0.59 | 24.4x | 189 | 51% |
| ADX / DI 방향성 period=26, threshold=18 |
40.1% | -66.7% | 0.82 | 0.60 | 22.9x | 71 | 29% |
| SMA 크로스오버 fast=4, slow=51 |
36.2% | -72.3% | 0.78 | 0.50 | 17.7x | 91 | 40% |
| Parabolic SAR step=0.045, maxStep=0.14 |
38.7% | -77.3% | 0.77 | 0.50 | 20.9x | 348 | 41% |
| ROC 모멘텀 n=6, threshold=0.05 |
33.2% | -72.6% | 0.75 | 0.46 | 14.4x | 446 | 25% |
| EMA 크로스오버 fast=15, slow=20 |
32.5% | -72.2% | 0.74 | 0.45 | 13.7x | 91 | 41% |
| Supertrend period=25, mult=5 |
29.7% | -73.8% | 0.71 | 0.40 | 11.2x | 31 | 38% |
| Buy and hold | 2.6% | -94.8% | 0.53 | 0.03 | 1.3x | 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 13-day average (2.3× volatility)
- Sell — Sell when the close falls back to the 13-day middle average