Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Ethereum backtest
10 trend-following strategies were compared on the full daily history of Ethereum. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 62.5%, MDD -40.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 30.0%, drawdown -95.6%).
Sharpe leader (same as main): Supertrend — CAGR 100.2%, MDD -48.5%, Sharpe 1.57, 47% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 70.2%p higher than buy and hold, while drawdown improves by 47.1%p (CAGR 62.5%, MDD -40.1%, exposure 28%).
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=8, mult=2.4 |
100.2% | -48.5% | 1.57 | 2.07 | 492.5x | 93 | 47% |
| Parabolic SAR step=0.01, maxStep=0.12 |
94.3% | -43.6% | 1.54 | 2.16 | 377.1x | 153 | 47% |
| 볼린저 밴드 돌파 n=38, k=1.3 |
90.6% | -48.6% | 1.52 | 1.86 | 317.2x | 71 | 41% |
| MACD fast=39, slow=46, signal=6 |
99.5% | -53.7% | 1.51 | 1.85 | 476.2x | 131 | 52% |
| EMA 크로스오버 fast=7, slow=25 |
94.1% | -45.3% | 1.47 | 2.08 | 373.7x | 103 | 50% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=13, mult=1.1 |
85.0% | -59.6% | 1.43 | 1.43 | 243.1x | 67 | 44% |
| SMA 크로스오버 fast=2, slow=39 |
90.4% | -61.3% | 1.43 | 1.47 | 314.4x | 139 | 51% |
| ADX / DI 방향성 period=16, threshold=10 |
80.4% | -43.1% | 1.39 | 1.87 | 193.9x | 167 | 46% |
| ROC 모멘텀 n=27, threshold=0.08 |
75.8% | -55.1% | 1.36 | 1.38 | 154.5x | 173 | 37% |
| Donchian 채널 돌파 entryN=26, exitN=4 |
62.5% | -40.1% | 1.33 | 1.56 | 76.5x | 99 | 28% |
| Buy and hold | 30.0% | -95.6% | 0.73 | 0.31 | 10.4x | 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) — 8-day volatility, 2.4× band
- Sell — Sell when price drops below the trend line (flips down)