Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
BTC backtest
10 trend-following strategies were compared on the full daily history of BTC. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 41.2%, MDD -34.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 36.4%, drawdown -83.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 56.3%, MDD -44.1%, Sharpe 1.29, 37% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 19.9%p higher than buy and hold, while drawdown improves by 39.4%p (CAGR 41.2%, MDD -34.1%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=48, k=1.9 |
56.3% | -44.1% | 1.29 | 1.28 | 53.1x | 47 | 37% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=29, mult=2.1 |
41.2% | -34.1% | 1.26 | 1.21 | 21.5x | 59 | 22% |
| ROC 모멘텀 n=34, threshold=0.14 |
45.2% | -53.5% | 1.14 | 0.85 | 27.6x | 137 | 28% |
| SMA 크로스오버 fast=1, slow=132 |
47.1% | -36.7% | 1.14 | 1.28 | 30.8x | 73 | 50% |
| Supertrend period=18, mult=4.1 |
49.0% | -57.3% | 1.13 | 0.86 | 34.7x | 43 | 48% |
| MACD fast=31, slow=42, signal=10 |
47.8% | -65.0% | 1.11 | 0.73 | 32.2x | 119 | 51% |
| Donchian 채널 돌파 entryN=36, exitN=6 |
37.5% | -46.9% | 1.09 | 0.80 | 16.9x | 73 | 29% |
| ADX / DI 방향성 period=26, threshold=29 |
31.2% | -36.8% | 1.01 | 0.85 | 11.2x | 20 | 13% |
| EMA 크로스오버 fast=14, slow=28 |
41.2% | -60.5% | 0.97 | 0.68 | 21.4x | 87 | 51% |
| Parabolic SAR step=0.01, maxStep=0.26 |
36.9% | -51.1% | 0.94 | 0.72 | 16.3x | 155 | 51% |
| Buy and hold | 36.4% | -83.5% | 0.80 | 0.44 | 15.8x | 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 48-day average (1.9× volatility)
- Sell — Sell when the close falls back to the 48-day middle average