Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
ETC backtest
10 trend-following strategies were compared on the full daily history of ETC. 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 50.1%, MDD -46.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.5%, drawdown -95.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 50.1%, MDD -46.7%, Sharpe 0.93, 16% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 66.6%p higher than buy and hold, while drawdown improves by 48.7%p (CAGR 50.1%, MDD -46.7%, exposure 16%).
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=14, atrPeriod=17, mult=1.5 |
50.1% | -46.7% | 0.93 | 1.07 | 33.3x | 70 | 16% |
| 볼린저 밴드 돌파 n=11, k=2.1 |
44.3% | -59.3% | 0.86 | 0.75 | 23.7x | 132 | 20% |
| ADX / DI 방향성 period=7, threshold=45 |
34.2% | -49.4% | 0.76 | 0.69 | 12.7x | 89 | 13% |
| Donchian 채널 돌파 entryN=107, exitN=19 |
30.5% | -71.5% | 0.70 | 0.43 | 10.0x | 14 | 18% |
| SMA 크로스오버 fast=11, slow=55 |
23.9% | -70.5% | 0.63 | 0.34 | 6.4x | 63 | 41% |
| MACD fast=15, slow=47, signal=11 |
21.5% | -88.8% | 0.61 | 0.24 | 5.4x | 175 | 52% |
| ROC 모멘텀 n=31, threshold=0.03 |
19.9% | -72.5% | 0.59 | 0.28 | 4.8x | 179 | 37% |
| Supertrend period=26, mult=2.6 |
19.7% | -75.5% | 0.58 | 0.26 | 4.7x | 82 | 31% |
| EMA 크로스오버 fast=14, slow=39 |
17.8% | -78.8% | 0.57 | 0.23 | 4.1x | 63 | 37% |
| Parabolic SAR step=0.035, maxStep=0.16 |
13.4% | -88.3% | 0.52 | 0.15 | 3.0x | 308 | 44% |
| Buy and hold | -16.5% | -95.4% | 0.31 | -0.17 | 0.2x | 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 14-day average + 1.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 14-day average