Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Shiba Inu backtest
10 trend-following strategies were compared on the full daily history of Shiba Inu. 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 39.0%, MDD -45.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.4%, drawdown -88.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 39.0%, MDD -45.3%, Sharpe 0.83, 16% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 56.4%p higher than buy and hold, while drawdown improves by 42.7%p (CAGR 39.0%, MDD -45.3%, 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=15, atrPeriod=21, mult=1.3 |
39.0% | -45.3% | 0.83 | 0.86 | 3.3x | 28 | 16% |
| 볼린저 밴드 돌파 n=26, k=2.6 |
34.5% | -51.3% | 0.77 | 0.67 | 2.9x | 21 | 19% |
| Donchian 채널 돌파 entryN=59, exitN=20 |
33.5% | -49.2% | 0.75 | 0.68 | 2.8x | 8 | 25% |
| ROC 모멘텀 n=36, threshold=0.03 |
32.1% | -52.7% | 0.72 | 0.61 | 2.7x | 76 | 31% |
| EMA 크로스오버 fast=19, slow=113 |
31.4% | -47.0% | 0.72 | 0.67 | 2.7x | 6 | 26% |
| MACD fast=16, slow=55, signal=14 |
29.8% | -65.5% | 0.69 | 0.46 | 2.6x | 53 | 48% |
| SMA 크로스오버 fast=51, slow=152 |
24.0% | -53.5% | 0.62 | 0.45 | 2.2x | 8 | 26% |
| ADX / DI 방향성 period=30, threshold=9 |
22.6% | -57.8% | 0.60 | 0.39 | 2.1x | 43 | 41% |
| Supertrend period=13, mult=2.3 |
19.6% | -64.5% | 0.56 | 0.30 | 1.9x | 35 | 31% |
| Parabolic SAR step=0.015, maxStep=0.08 |
15.8% | -78.6% | 0.51 | 0.20 | 1.7x | 61 | 38% |
| Buy and hold | -17.4% | -88.0% | 0.15 | -0.20 | 0.5x | 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 15-day average + 1.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 15-day average