Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cipher Digital Inc. backtest
10 trend-following strategies were compared on the full daily history of Cipher Digital Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 36.1%, MDD -63.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 15.0%, drawdown -97.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 40.0%, MDD -69.1%, Sharpe 0.81, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 25.0%p higher than buy and hold, while drawdown improves by 28.1%p (CAGR 36.1%, MDD -63.2%, exposure 39%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=60, slow=249 |
40.0% | -69.1% | 0.81 | 0.58 | 7.0x | 7 | 52% |
| Supertrend period=13, mult=3.1 |
38.1% | -68.7% | 0.79 | 0.55 | 6.4x | 33 | 45% |
| 볼린저 밴드 돌파 n=38, k=1.1 |
36.1% | -63.2% | 0.77 | 0.57 | 5.9x | 44 | 39% |
| EMA 크로스오버 fast=57, slow=246 |
32.0% | -67.9% | 0.74 | 0.47 | 5.0x | 5 | 49% |
| Donchian 채널 돌파 entryN=17, exitN=92 |
21.9% | -85.9% | 0.68 | 0.25 | 3.1x | 17 | 76% |
| MACD fast=17, slow=59, signal=17 |
21.0% | -80.8% | 0.62 | 0.26 | 3.0x | 58 | 49% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=29, mult=1.2 |
20.9% | -69.9% | 0.60 | 0.30 | 3.0x | 56 | 32% |
| ADX / DI 방향성 period=24, threshold=7 |
13.9% | -75.0% | 0.57 | 0.19 | 2.1x | 87 | 64% |
| ROC 모멘텀 n=14, threshold=-0.01 |
15.2% | -82.5% | 0.56 | 0.18 | 2.3x | 145 | 56% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-6.0% | -81.1% | 0.31 | -0.07 | 0.7x | 77 | 45% |
| Buy and hold | 15.0% | -97.2% | 0.68 | 0.15 | 2.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 60-day average price crosses above the 249-day average
- Sell — Sell (to cash) when the 60-day average falls below the 249-day average