Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bit Digital, Inc. backtest
10 trend-following strategies were compared on the full daily history of Bit Digital, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 28.1%, MDD -59.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.0%, drawdown -98.2%).
Sharpe leader (same as main): Supertrend — CAGR 55.1%, MDD -78.7%, Sharpe 0.89, 39% exposure.
CAGR reference leader: Parabolic SAR — CAGR 56.5%, MDD -85.6%, exposure 42%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 69.1%p higher than buy and hold, while drawdown improves by 19.4%p (CAGR 28.1%, MDD -59.1%, exposure 6%).
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=19, mult=4 |
55.1% | -78.7% | 0.89 | 0.70 | 39.3x | 32 | 39% |
| SMA 크로스오버 fast=19, slow=33 |
55.1% | -73.5% | 0.89 | 0.75 | 39.2x | 58 | 40% |
| Parabolic SAR step=0.05, maxStep=0.26 |
56.5% | -85.6% | 0.87 | 0.66 | 42.2x | 286 | 42% |
| EMA 크로스오버 fast=17, slow=23 |
45.7% | -74.5% | 0.82 | 0.61 | 23.3x | 46 | 41% |
| ADX / DI 방향성 period=18, threshold=24 |
44.5% | -80.8% | 0.81 | 0.55 | 21.7x | 40 | 27% |
| ROC 모멘텀 n=29, threshold=0.04 |
41.9% | -74.3% | 0.79 | 0.56 | 18.7x | 130 | 38% |
| Donchian 채널 돌파 entryN=96, exitN=39 |
40.0% | -75.8% | 0.78 | 0.53 | 16.7x | 12 | 30% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=21, mult=2.4 |
35.5% | -59.4% | 0.77 | 0.60 | 12.7x | 34 | 11% |
| 볼린저 밴드 돌파 n=22, k=3.3 |
28.1% | -59.1% | 0.71 | 0.48 | 7.9x | 10 | 6% |
| MACD fast=18, slow=42, signal=14 |
-1.9% | -93.8% | 0.40 | -0.02 | 0.9x | 88 | 53% |
| Buy and hold | -14.0% | -98.2% | 0.49 | -0.14 | 0.3x | 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) — 19-day volatility, 4× band
- Sell — Sell when price drops below the trend line (flips down)