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 28.7%, drawdown -95.6%). Sorted by CAGR.
| Strategy · parameters | CAGR | Max drawdown | Sharpe | Calmar | Total return | Trades | Time in market |
|---|---|---|---|---|---|---|---|
| Supertrend period=6, mult=2.3 |
102.0% | -47.6% | 1.58 | 2.14 | 591.0x | 100 | 48% |
| MACD fast=28, slow=36, signal=22 |
99.4% | -65.8% | 1.50 | 1.51 | 524.8x | 94 | 53% |
| Parabolic SAR step=0.01, maxStep=0.16 |
95.0% | -49.7% | 1.54 | 1.91 | 427.9x | 156 | 48% |
| Bollinger band breakout n=38, k=1.2 |
93.6% | -48.6% | 1.55 | 1.93 | 402.0x | 74 | 42% |
| EMA crossover fast=12, slow=17 |
91.4% | -49.9% | 1.45 | 1.83 | 362.5x | 106 | 50% |
| SMA crossover fast=2, slow=51 |
89.3% | -54.2% | 1.44 | 1.65 | 328.4x | 110 | 51% |
| Keltner channel breakout emaPeriod=51, atrPeriod=12, mult=1.6 |
83.7% | -47.5% | 1.45 | 1.76 | 249.5x | 62 | 42% |
| ADX / DI directional period=16, threshold=1 |
83.2% | -43.1% | 1.41 | 1.93 | 243.8x | 170 | 47% |
| Donchian channel breakout entryN=44, exitN=15 |
70.8% | -66.5% | 1.34 | 1.06 | 129.0x | 44 | 38% |
| ROC momentum n=12, threshold=0.14 |
56.3% | -39.9% | 1.34 | 1.41 | 57.5x | 190 | 18% |
| Buy & hold | 28.7% | -95.6% | 0.72 | 0.30 | 9.9x | 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) — 6-day volatility, 2.3× band
- Sell Sell when price drops below the trend line (flips down)
- CAGR
- 102.0%
- Max drawdown
- -47.6%
- Sharpe
- 1.58
- Trades
- 100
- Time in market
- 48%
- 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 (28/36) crosses above its 22-day signal line
- Sell Sell when the MACD line crosses back below the signal line
- CAGR
- 99.4%
- Max drawdown
- -65.8%
- Sharpe
- 1.50
- Trades
- 94
- Time in market
- 53%
- Win rate
- 52%
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
- 95.0%
- Max drawdown
- -49.7%
- Sharpe
- 1.54
- Trades
- 156
- Time in market
- 48%
- Win rate
- 50%
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 (1.2× volatility)
- Sell Sell when the close falls back to the 38-day middle average
- CAGR
- 93.6%
- Max drawdown
- -48.6%
- Sharpe
- 1.55
- Trades
- 74
- 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 12-day EMA crosses above the 17-day EMA
- Sell Sell when the 12-day EMA falls below the 17-day EMA
- CAGR
- 91.4%
- Max drawdown
- -49.9%
- Sharpe
- 1.45
- Trades
- 106
- 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 2-day average price crosses above the 51-day average
- Sell Sell (to cash) when the 2-day average falls below the 51-day average
- CAGR
- 89.3%
- Max drawdown
- -54.2%
- Sharpe
- 1.44
- Trades
- 110
- Time in market
- 51%
- 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 51-day average + 1.6× volatility (Keltner top)
- Sell Sell when the close falls back to the 51-day average
- CAGR
- 83.7%
- Max drawdown
- -47.5%
- Sharpe
- 1.45
- Trades
- 62
- Time in market
- 42%
- Win rate
- 52%
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 ≥ 1
- Sell Sell when direction flips or the trend weakens (ADX < 1)
- CAGR
- 83.2%
- Max drawdown
- -43.1%
- Sharpe
- 1.41
- Trades
- 170
- Time in market
- 47%
- Win rate
- 50%
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 44 days
- Sell Sell when price breaks below the lowest low of the last 15 days
- CAGR
- 70.8%
- Max drawdown
- -66.5%
- Sharpe
- 1.34
- Trades
- 44
- Time in market
- 38%
- Win rate
- 53%
ROC momentum
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy Buy when the last 12-day return is greater than 14%
- Sell Sell when the 12-day return drops to 14% or below
- CAGR
- 56.3%
- Max drawdown
- -39.9%
- Sharpe
- 1.34
- Trades
- 190
- Time in market
- 18%
- Win rate
- 49%