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 27.7%, MDD -59.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.0%, drawdown -98.2%).
Sharpe leader (same as main): Supertrend — CAGR 54.4%, MDD -78.7%, Sharpe 0.89, 39% exposure.
CAGR reference leader: Parabolic SAR — CAGR 54.6%, MDD -86.0%, exposure 43%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 67.4%p higher than buy and hold, while drawdown improves by 19.4%p (CAGR 27.7%, 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 |
54.4% | -78.7% | 0.89 | 0.69 | 39.3x | 32 | 39% |
| SMA 크로스오버 fast=19, slow=33 |
52.4% | -73.5% | 0.87 | 0.71 | 35.1x | 59 | 40% |
| Parabolic SAR step=0.05, maxStep=0.26 |
54.6% | -86.0% | 0.86 | 0.63 | 39.7x | 290 | 43% |
| ADX / DI 방향성 period=18, threshold=24 |
43.9% | -80.8% | 0.81 | 0.54 | 21.7x | 40 | 27% |
| EMA 크로스오버 fast=17, slow=23 |
43.2% | -75.3% | 0.80 | 0.57 | 20.8x | 48 | 40% |
| ROC 모멘텀 n=29, threshold=0.04 |
39.8% | -74.3% | 0.78 | 0.54 | 16.9x | 132 | 37% |
| Donchian 채널 돌파 entryN=96, exitN=39 |
39.6% | -75.8% | 0.77 | 0.52 | 16.7x | 12 | 30% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=21, mult=2.4 |
35.1% | -59.4% | 0.77 | 0.59 | 12.7x | 34 | 11% |
| 볼린저 밴드 돌파 n=22, k=3.3 |
27.7% | -59.1% | 0.71 | 0.47 | 7.9x | 10 | 6% |
| MACD fast=18, slow=42, signal=14 |
-2.4% | -93.8% | 0.40 | -0.03 | 0.8x | 89 | 53% |
| Buy and hold | -13.0% | -98.2% | 0.49 | -0.13 | 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)