Trend-Following Backtester · Guide · backtest 한국어
etf · US
Grayscale Bitcoin Trust (BTC) backtest
10 trend-following strategies were compared on the full daily history of Grayscale Bitcoin Trust (BTC). 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 58.9%, MDD -48.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 53.0%, drawdown -89.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 66.4%, MDD -60.2%, Sharpe 1.15, 46% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 70.6%, MDD -71.0%, exposure 55%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.4%p higher than buy and hold, while drawdown improves by 29.7%p (CAGR 58.9%, MDD -48.8%, exposure 26%).
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=58, atrPeriod=17, mult=1.6 |
66.4% | -60.2% | 1.15 | 1.10 | 316.6x | 61 | 46% |
| EMA 크로스오버 fast=30, slow=35 |
70.6% | -71.0% | 1.15 | 1.00 | 421.0x | 37 | 55% |
| 볼린저 밴드 돌파 n=29, k=2.6 |
58.9% | -48.8% | 1.15 | 1.21 | 188.3x | 49 | 26% |
| SMA 크로스오버 fast=34, slow=185 |
70.3% | -73.6% | 1.14 | 0.96 | 411.1x | 12 | 59% |
| Donchian 채널 돌파 entryN=87, exitN=43 |
63.6% | -68.6% | 1.11 | 0.93 | 262.3x | 20 | 47% |
| ROC 모멘텀 n=86, threshold=0 |
65.9% | -75.3% | 1.10 | 0.88 | 307.0x | 83 | 57% |
| MACD fast=17, slow=35, signal=7 |
60.8% | -76.8% | 1.08 | 0.79 | 214.7x | 175 | 52% |
| Supertrend period=8, mult=4.9 |
58.8% | -84.1% | 1.05 | 0.70 | 186.8x | 39 | 58% |
| Parabolic SAR step=0.015, maxStep=0.34 |
51.9% | -86.2% | 1.00 | 0.60 | 113.2x | 183 | 51% |
| ADX / DI 방향성 period=11, threshold=22 |
46.3% | -73.6% | 0.98 | 0.63 | 74.0x | 149 | 30% |
| Buy and hold | 53.0% | -89.9% | 0.93 | 0.59 | 122.3x | 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 58-day average + 1.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 58-day average