Trend-Following Backtester · Guide · backtest 한국어
equity · US
American Bitcoin Corp. backtest
10 trend-following strategies were compared on the full daily history of American Bitcoin Corp.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 18.1%, MDD -79.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -70.9%, drawdown -100.0%).
Sharpe leader (same as main): Supertrend — CAGR 23.1%, MDD -86.4%, Sharpe 0.51, 26% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 93.9%p higher than buy and hold, while drawdown improves by 13.6%p (CAGR 18.1%, MDD -79.6%, exposure 3%).
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=27, mult=3.2 |
23.1% | -86.4% | 0.51 | 0.27 | 5.8x | 35 | 26% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=13, mult=3.2 |
18.1% | -79.6% | 0.43 | 0.23 | 4.1x | 14 | 3% |
| 볼린저 밴드 돌파 n=20, k=3.3 |
13.8% | -83.7% | 0.40 | 0.17 | 3.0x | 22 | 6% |
| SMA 크로스오버 fast=7, slow=46 |
3.0% | -89.2% | 0.38 | 0.03 | 1.3x | 37 | 31% |
| ROC 모멘텀 n=45, threshold=0.11 |
0.7% | -89.6% | 0.35 | 0.01 | 1.1x | 68 | 16% |
| EMA 크로스오버 fast=14, slow=23 |
-1.9% | -92.1% | 0.33 | -0.02 | 0.8x | 45 | 30% |
| Donchian 채널 돌파 entryN=66, exitN=6 |
4.6% | -84.6% | 0.32 | 0.05 | 1.5x | 22 | 6% |
| Parabolic SAR step=0.06, maxStep=0.14 |
-14.0% | -98.1% | 0.27 | -0.14 | 0.3x | 246 | 37% |
| ADX / DI 방향성 period=17, threshold=23 |
-13.3% | -97.3% | 0.23 | -0.14 | 0.3x | 64 | 25% |
| MACD fast=12, slow=45, signal=24 |
-36.8% | -99.9% | 0.11 | -0.37 | 0.0x | 89 | 54% |
| Buy and hold | -70.9% | -100.0% | -0.23 | -0.71 | 0.0x | 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) — 27-day volatility, 3.2× band
- Sell — Sell when price drops below the trend line (flips down)