Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Bitcoin Cash backtest
10 trend-following strategies were compared on the full daily history of Bitcoin Cash. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 60.0%, MDD -59.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.1%, drawdown -98.3%).
Sharpe leader (same as main): Supertrend — CAGR 74.9%, MDD -61.4%, Sharpe 1.07, 41% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 79.0%p higher than buy and hold, while drawdown improves by 36.9%p (CAGR 60.0%, MDD -59.4%, exposure 30%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=19, mult=1.2 |
74.9% | -61.4% | 1.07 | 1.22 | 147.0x | 218 | 41% |
| 볼린저 밴드 돌파 n=15, k=0.4 |
64.5% | -68.4% | 0.99 | 0.94 | 85.4x | 276 | 42% |
| SMA 크로스오버 fast=3, slow=18 |
62.6% | -70.8% | 0.98 | 0.88 | 76.8x | 207 | 45% |
| ADX / DI 방향성 period=14, threshold=24 |
60.0% | -59.4% | 0.97 | 1.01 | 66.5x | 117 | 30% |
| Parabolic SAR step=0.015, maxStep=0.1 |
62.4% | -59.8% | 0.97 | 1.04 | 75.9x | 183 | 44% |
| ROC 모멘텀 n=12, threshold=0.05 |
51.2% | -75.2% | 0.88 | 0.68 | 40.2x | 315 | 33% |
| Donchian 채널 돌파 entryN=31, exitN=15 |
47.5% | -69.9% | 0.86 | 0.68 | 32.2x | 49 | 34% |
| MACD fast=12, slow=17, signal=8 |
45.3% | -80.7% | 0.83 | 0.56 | 28.1x | 276 | 52% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=10, mult=1.8 |
43.0% | -64.7% | 0.83 | 0.67 | 24.5x | 73 | 25% |
| EMA 크로스오버 fast=8, slow=34 |
27.6% | -78.0% | 0.67 | 0.35 | 8.8x | 109 | 42% |
| Buy and hold | -4.1% | -98.3% | 0.46 | -0.04 | 0.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 19-day volatility, 1.2× band
- Sell — Sell when price drops below the trend line (flips down)