Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Ethereum Classic backtest
10 trend-following strategies were compared on the full daily history of Ethereum Classic. 10 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 51.8%, MDD -42.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.1%, drawdown -94.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 66.9%, MDD -62.2%, Sharpe 1.11, 24% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 69.0%p higher than buy and hold, while drawdown improves by 32.4%p (CAGR 51.8%, MDD -42.8%, exposure 14%).
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=10, k=2 |
66.9% | -62.2% | 1.11 | 1.07 | 97.0x | 172 | 24% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=9, mult=1.8 |
51.8% | -42.8% | 1.00 | 1.21 | 41.5x | 62 | 14% |
| Donchian 채널 돌파 entryN=29, exitN=2 |
51.0% | -54.4% | 0.98 | 0.94 | 39.7x | 78 | 14% |
| ROC 모멘텀 n=7, threshold=0.07 |
52.2% | -59.6% | 0.96 | 0.88 | 42.5x | 318 | 21% |
| ADX / DI 방향성 period=25, threshold=19 |
45.0% | -76.2% | 0.88 | 0.59 | 27.5x | 71 | 25% |
| EMA 크로스오버 fast=14, slow=36 |
42.6% | -76.4% | 0.84 | 0.56 | 23.7x | 63 | 38% |
| SMA 크로스오버 fast=3, slow=32 |
41.1% | -78.9% | 0.82 | 0.52 | 21.6x | 151 | 42% |
| Parabolic SAR step=0.05, maxStep=0.1 |
37.0% | -79.5% | 0.78 | 0.47 | 16.7x | 310 | 42% |
| MACD fast=10, slow=25, signal=9 |
36.1% | -90.3% | 0.77 | 0.40 | 15.7x | 247 | 52% |
| Supertrend period=8, mult=4.7 |
24.8% | -85.6% | 0.67 | 0.29 | 7.2x | 33 | 53% |
| Buy and hold | -2.1% | -94.6% | 0.46 | -0.02 | 0.8x | 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 10-day average (2× volatility)
- Sell — Sell when the close falls back to the 10-day middle average