Trend-Following Backtester · Guide · backtest 한국어
etf · US
Grayscale Ethereum Staking ETF Shares backtest
10 trend-following strategies were compared on the full daily history of Grayscale Ethereum Staking ETF Shares. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 63.7%, MDD -47.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 18.2%, drawdown -96.3%).
Sharpe leader (same as main): MACD — CAGR 83.0%, MDD -60.7%, Sharpe 1.18, 51% exposure.
CAGR reference leader: Parabolic SAR — CAGR 92.5%, MDD -91.2%, exposure 46%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 64.8%p higher than buy and hold, while drawdown improves by 35.6%p (CAGR 63.7%, MDD -47.7%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=14, slow=29, signal=11 |
83.0% | -60.7% | 1.18 | 1.37 | 78.4x | 101 | 51% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=7, mult=1 |
63.7% | -47.7% | 1.10 | 1.34 | 35.1x | 101 | 35% |
| 볼린저 밴드 돌파 n=22, k=1.6 |
56.6% | -56.4% | 1.01 | 1.00 | 25.5x | 69 | 34% |
| Supertrend period=28, mult=4.5 |
53.9% | -55.7% | 0.98 | 0.97 | 22.5x | 25 | 43% |
| ADX / DI 방향성 period=12, threshold=12 |
52.3% | -63.2% | 0.93 | 0.83 | 20.8x | 149 | 51% |
| SMA 크로스오버 fast=11, slow=65 |
43.9% | -71.7% | 0.86 | 0.61 | 13.8x | 31 | 53% |
| Donchian 채널 돌파 entryN=53, exitN=61 |
43.9% | -72.9% | 0.86 | 0.60 | 13.8x | 11 | 57% |
| ROC 모멘텀 n=85, threshold=0.02 |
43.6% | -76.0% | 0.86 | 0.57 | 13.6x | 61 | 50% |
| EMA 크로스오버 fast=11, slow=85 |
41.0% | -71.3% | 0.84 | 0.57 | 11.9x | 19 | 47% |
| Parabolic SAR step=0.015, maxStep=0.16 |
92.5% | -91.2% | 0.80 | 1.01 | 112.8x | 113 | 46% |
| Buy and hold | 18.2% | -96.3% | 0.64 | 0.19 | 3.4x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (14/29) crosses above its 11-day signal line
- Sell — Sell when the MACD line crosses back below the signal line