Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Bitcoin backtest
10 trend-following strategies were compared on the full daily history of Bitcoin. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 73.8%, MDD -40.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 43.4%, drawdown -86.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 82.1%, MDD -41.5%, Sharpe 1.72, 40% exposure.
Return/drawdown alternative: Supertrend — CAGR is 38.8%p higher than buy and hold, while drawdown improves by 45.3%p (CAGR 73.8%, MDD -40.2%, exposure 49%).
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=37, k=1.6 |
82.1% | -41.5% | 1.72 | 1.98 | 211.8x | 59 | 40% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=15, mult=2.4 |
74.9% | -43.4% | 1.66 | 1.72 | 147.2x | 49 | 34% |
| Supertrend period=6, mult=2.1 |
73.8% | -40.2% | 1.51 | 1.84 | 139.1x | 115 | 49% |
| ROC 모멘텀 n=35, threshold=0.1 |
66.8% | -58.7% | 1.49 | 1.14 | 96.6x | 133 | 34% |
| EMA 크로스오버 fast=5, slow=32 |
73.4% | -55.4% | 1.49 | 1.32 | 136.5x | 103 | 51% |
| SMA 크로스오버 fast=2, slow=37 |
73.1% | -57.4% | 1.48 | 1.27 | 134.2x | 143 | 51% |
| ADX / DI 방향성 period=24, threshold=9 |
67.7% | -52.1% | 1.45 | 1.30 | 101.4x | 133 | 48% |
| Parabolic SAR step=0.01, maxStep=0.34 |
69.2% | -44.1% | 1.44 | 1.57 | 109.5x | 159 | 51% |
| Donchian 채널 돌파 entryN=37, exitN=6 |
55.9% | -51.8% | 1.44 | 1.08 | 52.9x | 67 | 29% |
| MACD fast=14, slow=24, signal=14 |
58.3% | -59.8% | 1.28 | 0.97 | 60.3x | 169 | 52% |
| Buy and hold | 43.4% | -86.8% | 0.90 | 0.50 | 24.9x | 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 37-day average (1.6× volatility)
- Sell — Sell when the close falls back to the 37-day middle average