Trend-Following Backtester · Guide · Assets 한국어
Assets
Ethereum backtest
The reserve asset of smart-contract platforms. It tracks Bitcoin closely but tends to fall further in drawdowns.
Results by strategy
10 of 10 beat buy and hold (CAGR 30.2%, drawdown -95.6%). Sorted by CAGR.
| Strategy · parameters | CAGR | Max drawdown | Sharpe | Calmar | Total return | Trades | Time in market |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=2.4 |
101.6% | -48.5% | 1.58 | 2.09 | 517.9x | 93 | 47% |
| Parabolic SAR step=0.01, maxStep=0.12 |
97.1% | -42.0% | 1.57 | 2.31 | 424.4x | 151 | 47% |
| MACD fast=31, slow=38, signal=16 |
96.9% | -69.0% | 1.48 | 1.40 | 419.7x | 99 | 52% |
| Bollinger band breakout n=38, k=1.1 |
95.0% | -48.6% | 1.56 | 1.96 | 385.2x | 77 | 42% |
| EMA crossover fast=7, slow=25 |
93.0% | -46.5% | 1.46 | 2.00 | 351.7x | 103 | 50% |
| SMA crossover fast=6, slow=32 |
90.9% | -49.0% | 1.44 | 1.86 | 318.7x | 109 | 49% |
| Keltner channel breakout emaPeriod=54, atrPeriod=9, mult=1.4 |
86.0% | -50.9% | 1.45 | 1.69 | 252.3x | 63 | 43% |
| ADX / DI directional period=16, threshold=8 |
85.3% | -43.1% | 1.44 | 1.98 | 244.6x | 171 | 46% |
| ROC momentum n=34, threshold=0.04 |
76.4% | -67.5% | 1.32 | 1.13 | 157.6x | 147 | 46% |
| Donchian channel breakout entryN=22, exitN=4 |
66.9% | -44.1% | 1.38 | 1.52 | 96.2x | 103 | 29% |
| Buy & hold | 30.2% | -95.6% | 0.73 | 0.32 | 10.5x | 1 | 100% |
The rules, strategy by strategy
Supertrend
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)
- CAGR
- 101.6%
- Max drawdown
- -48.5%
- Sharpe
- 1.58
- Trades
- 93
- Time in market
- 47%
- Win rate
- 51%
Parabolic SAR
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy Buy when price rises above the SAR dots
- Sell Sell when price falls below the SAR dots
- CAGR
- 97.1%
- Max drawdown
- -42.0%
- Sharpe
- 1.57
- Trades
- 151
- Time in market
- 47%
- Win rate
- 51%
MACD
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy Buy when the MACD line (31/38) crosses above its 16-day signal line
- Sell Sell when the MACD line crosses back below the signal line
- CAGR
- 96.9%
- Max drawdown
- -69.0%
- Sharpe
- 1.48
- Trades
- 99
- Time in market
- 52%
- Win rate
- 52%
Bollinger band breakout
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 38-day average (1.1× volatility)
- Sell Sell when the close falls back to the 38-day middle average
- CAGR
- 95.0%
- Max drawdown
- -48.6%
- Sharpe
- 1.56
- Trades
- 77
- Time in market
- 42%
- Win rate
- 52%
EMA crossover
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy Buy when the 7-day EMA crosses above the 25-day EMA
- Sell Sell when the 7-day EMA falls below the 25-day EMA
- CAGR
- 93.0%
- Max drawdown
- -46.5%
- Sharpe
- 1.46
- Trades
- 103
- Time in market
- 50%
- Win rate
- 51%
SMA crossover
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy Buy when the 6-day average price crosses above the 32-day average
- Sell Sell (to cash) when the 6-day average falls below the 32-day average
- CAGR
- 90.9%
- Max drawdown
- -49.0%
- Sharpe
- 1.44
- Trades
- 109
- Time in market
- 49%
- Win rate
- 51%
Keltner channel breakout
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy Buy when the close breaks above the 54-day average + 1.4× volatility (Keltner top)
- Sell Sell when the close falls back to the 54-day average
- CAGR
- 86.0%
- Max drawdown
- -50.9%
- Sharpe
- 1.45
- Trades
- 63
- Time in market
- 43%
- Win rate
- 53%
ADX / DI directional
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 16-day) is ≥ 8
- Sell Sell when direction flips or the trend weakens (ADX < 8)
- CAGR
- 85.3%
- Max drawdown
- -43.1%
- Sharpe
- 1.44
- Trades
- 171
- Time in market
- 46%
- Win rate
- 50%
ROC momentum
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy Buy when the last 34-day return is greater than 4%
- Sell Sell when the 34-day return drops to 4% or below
- CAGR
- 76.4%
- Max drawdown
- -67.5%
- Sharpe
- 1.32
- Trades
- 147
- Time in market
- 46%
- Win rate
- 51%
Donchian channel breakout
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy Buy on a breakout above the highest high of the last 22 days
- Sell Sell when price breaks below the lowest low of the last 4 days
- CAGR
- 66.9%
- Max drawdown
- -44.1%
- Sharpe
- 1.38
- Trades
- 103
- Time in market
- 29%
- Win rate
- 51%