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; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 171.6%, MDD -39.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 73.2%, drawdown -95.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 171.6%, MDD -39.9%, Sharpe 1.93, 39% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 98.4%p higher than buy and hold, while drawdown improves by 55.4%p (CAGR 171.6%, MDD -39.9%, exposure 39%).
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=18, atrPeriod=8, mult=1 |
171.6% | -39.9% | 1.93 | 4.30 | 20193.5x | 141 | 39% |
| 볼린저 밴드 돌파 n=21, k=0.9 |
169.1% | -41.3% | 1.87 | 4.10 | 18450.7x | 169 | 44% |
| Donchian 채널 돌파 entryN=11, exitN=6 |
158.8% | -39.9% | 1.82 | 3.98 | 12504.9x | 141 | 44% |
| Supertrend period=10, mult=1.9 |
151.8% | -42.6% | 1.80 | 3.56 | 9523.9x | 141 | 46% |
| ADX / DI 방향성 period=8, threshold=18 |
153.1% | -44.0% | 1.78 | 3.48 | 10049.7x | 283 | 47% |
| MACD fast=10, slow=66, signal=17 |
160.9% | -50.7% | 1.76 | 3.17 | 13576.3x | 149 | 52% |
| EMA 크로스오버 fast=4, slow=26 |
161.4% | -50.5% | 1.75 | 3.20 | 13839.8x | 143 | 51% |
| SMA 크로스오버 fast=6, slow=40 |
153.7% | -52.9% | 1.70 | 2.91 | 10285.9x | 93 | 53% |
| ROC 모멘텀 n=25, threshold=-0.03 |
142.6% | -61.6% | 1.59 | 2.31 | 6589.9x | 247 | 59% |
| Parabolic SAR step=0.01, maxStep=0.42 |
123.4% | -55.9% | 1.57 | 2.21 | 2902.1x | 155 | 47% |
| Buy and hold | 73.2% | -95.4% | 1.06 | 0.77 | 232.1x | 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 18-day average + 1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 18-day average