Trend-Following Backtester · Guide · backtest 한국어
equity · KR
비츠로셀 backtest
10 trend-following strategies were compared on the full daily history of 비츠로셀. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 14.1%, MDD -44.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.4%, drawdown -61.8%).
Sharpe leader (same as main): Supertrend — CAGR 14.1%, MDD -44.7%, Sharpe 0.57, 61% exposure.
Return/drawdown alternative: Supertrend — CAGR is 4.3%p lower than buy and hold, while drawdown improves by 17.1%p (CAGR 14.1%, MDD -44.7%, exposure 61%).
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=13, mult=3.8 |
14.1% | -44.7% | 0.57 | 0.32 | 9.2x | 50 | 61% |
| EMA 크로스오버 fast=57, slow=173 |
12.7% | -61.8% | 0.51 | 0.21 | 7.5x | 17 | 68% |
| SMA 크로스오버 fast=36, slow=212 |
11.8% | -61.8% | 0.49 | 0.19 | 6.5x | 22 | 64% |
| ROC 모멘텀 n=95, threshold=-0.14 |
10.1% | -61.8% | 0.44 | 0.16 | 5.0x | 96 | 88% |
| Donchian 채널 돌파 entryN=10, exitN=67 |
9.2% | -66.9% | 0.42 | 0.14 | 4.4x | 49 | 86% |
| Parabolic SAR step=0.005, maxStep=0.18 |
8.5% | -54.6% | 0.42 | 0.16 | 3.9x | 111 | 51% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=24, mult=2.5 |
4.1% | -43.2% | 0.33 | 0.10 | 2.0x | 42 | 8% |
| 볼린저 밴드 돌파 n=56, k=3.4 |
4.0% | -46.1% | 0.29 | 0.09 | 1.9x | 26 | 15% |
| MACD fast=10, slow=56, signal=16 |
4.1% | -58.1% | 0.28 | 0.07 | 2.0x | 221 | 45% |
| ADX / DI 방향성 period=25, threshold=40 |
1.6% | -18.9% | 0.24 | 0.08 | 1.3x | 4 | 1% |
| Buy and hold | 18.4% | -61.8% | 0.61 | 0.30 | 17.1x | 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) — 13-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)