Trend-Following Backtester · Guide · backtest 한국어
equity · US
Coinbase Global, Inc. backtest
10 trend-following strategies were compared on the full daily history of Coinbase Global, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 21.9%, MDD -29.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.2%, drawdown -90.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 21.9%, MDD -29.5%, Sharpe 0.73, 15% exposure.
CAGR reference leader: MACD — CAGR 28.2%, MDD -70.3%, exposure 47%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 36.1%p higher than buy and hold, while drawdown improves by 61.4%p (CAGR 21.9%, MDD -29.5%, exposure 15%).
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=16, atrPeriod=23, mult=2.7 |
21.9% | -29.5% | 0.73 | 0.74 | 2.9x | 20 | 15% |
| MACD fast=20, slow=42, signal=22 |
28.2% | -70.3% | 0.70 | 0.40 | 3.7x | 49 | 47% |
| Supertrend period=26, mult=2.9 |
26.0% | -54.5% | 0.70 | 0.48 | 3.4x | 32 | 38% |
| ADX / DI 방향성 period=10, threshold=38 |
18.5% | -30.8% | 0.69 | 0.60 | 2.5x | 20 | 12% |
| ROC 모멘텀 n=25, threshold=0.12 |
22.3% | -55.9% | 0.65 | 0.40 | 2.9x | 70 | 27% |
| 볼린저 밴드 돌파 n=18, k=1.7 |
15.3% | -50.4% | 0.53 | 0.30 | 2.1x | 58 | 29% |
| Donchian 채널 돌파 entryN=20, exitN=61 |
14.8% | -57.2% | 0.53 | 0.26 | 2.1x | 14 | 65% |
| EMA 크로스오버 fast=22, slow=178 |
12.6% | -50.5% | 0.48 | 0.25 | 1.9x | 6 | 38% |
| SMA 크로스오버 fast=20, slow=129 |
10.9% | -48.1% | 0.46 | 0.23 | 1.7x | 10 | 46% |
| Parabolic SAR step=0.01, maxStep=0.3 |
4.1% | -71.6% | 0.35 | 0.06 | 1.2x | 69 | 47% |
| Buy and hold | -14.2% | -90.9% | 0.24 | -0.16 | 0.4x | 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 16-day average + 2.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 16-day average