Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
STETH backtest
10 trend-following strategies were compared on the full daily history of STETH. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 27.4%, MDD -22.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.9%, drawdown -79.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 23.2%, MDD -26.7%, Sharpe 0.96, 15% exposure.
CAGR reference leader: MACD — CAGR 31.9%, MDD -44.7%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 34.1%p higher than buy and hold, while drawdown improves by 52.5%p (CAGR 27.4%, MDD -22.2%, exposure 24%).
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=29, atrPeriod=23, mult=3 |
23.2% | -26.7% | 0.96 | 0.87 | 2.7x | 13 | 15% |
| 볼린저 밴드 돌파 n=54, k=2.7 |
27.4% | -22.2% | 0.93 | 1.23 | 3.2x | 15 | 24% |
| MACD fast=23, slow=38, signal=20 |
31.9% | -44.7% | 0.80 | 0.71 | 3.8x | 51 | 50% |
| ADX / DI 방향성 period=14, threshold=10 |
23.5% | -47.1% | 0.69 | 0.50 | 2.7x | 103 | 43% |
| ROC 모멘텀 n=58, threshold=-0.03 |
23.0% | -54.3% | 0.68 | 0.42 | 2.7x | 61 | 52% |
| SMA 크로스오버 fast=14, slow=57 |
18.4% | -48.2% | 0.60 | 0.38 | 2.2x | 31 | 45% |
| EMA 크로스오버 fast=35, slow=40 |
16.3% | -50.0% | 0.56 | 0.33 | 2.1x | 21 | 46% |
| Donchian 채널 돌파 entryN=76, exitN=59 |
12.4% | -46.7% | 0.49 | 0.27 | 1.8x | 9 | 40% |
| Supertrend period=5, mult=3.2 |
10.7% | -54.2% | 0.45 | 0.20 | 1.6x | 37 | 47% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-6.4% | -71.5% | 0.09 | -0.09 | 0.7x | 119 | 45% |
| Buy and hold | -10.9% | -79.2% | 0.19 | -0.14 | 0.6x | 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 29-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 29-day average