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; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 30.8%, MDD -39.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -22.3%, drawdown -89.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 38.2%, MDD -53.1%, Sharpe 0.81, 22% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 60.6%p higher than buy and hold, while drawdown improves by 36.4%p (CAGR 30.8%, MDD -39.2%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=63, exitN=21 |
38.2% | -53.1% | 0.81 | 0.72 | 3.1x | 4 | 22% |
| MACD fast=17, slow=58, signal=15 |
37.2% | -58.9% | 0.77 | 0.63 | 3.0x | 47 | 48% |
| ROC 모멘텀 n=35, threshold=0.09 |
30.8% | -39.2% | 0.71 | 0.79 | 2.6x | 48 | 22% |
| 볼린저 밴드 돌파 n=40, k=1.8 |
30.0% | -57.9% | 0.70 | 0.52 | 2.5x | 25 | 24% |
| EMA 크로스오버 fast=42, slow=64 |
26.3% | -50.6% | 0.65 | 0.52 | 2.3x | 8 | 28% |
| SMA 크로스오버 fast=11, slow=53 |
24.6% | -62.5% | 0.63 | 0.39 | 2.2x | 25 | 36% |
| Supertrend period=29, mult=4 |
22.2% | -69.8% | 0.60 | 0.32 | 2.0x | 15 | 33% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=25, mult=1.3 |
20.5% | -54.9% | 0.57 | 0.37 | 1.9x | 30 | 22% |
| ADX / DI 방향성 period=11, threshold=7 |
14.9% | -67.7% | 0.51 | 0.22 | 1.6x | 87 | 44% |
| Parabolic SAR step=0.025, maxStep=0.16 |
12.7% | -63.5% | 0.47 | 0.20 | 1.5x | 98 | 41% |
| Buy and hold | -22.3% | -89.5% | 0.08 | -0.25 | 0.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 63 days
- Sell — Sell when price breaks below the lowest low of the last 21 days