Trend-Following Backtester · Guide · Strategies 한국어
Strategies
Bollinger band breakout
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
The rules
- Buy — Buy when the close breaks above the upper band of the 37-day average (1.6× volatility)
- Sell — Sell when the close falls back to the 37-day middle average
Those numbers are the values optimized for Bitcoin. They differ per asset — the table below lists each.
There are 2 tunable values: n, k. Fewer knobs make it harder to fit noise, so a count this low keeps overfitting risk relatively contained.
Results by asset
The same strategy across 5 very different assets, each over its full history, with parameters optimized per asset. It beat buy and hold on 3 of 5.
| Asset · parameters | CAGR | Hold CAGR | Max drawdown | Hold DD | Sharpe | Trades | Time in market |
|---|---|---|---|---|---|---|---|
| Bitcoin n=37, k=1.6 |
81.7% | 42.7% | -41.5% | -86.8% | 1.71 | 60 | 41% |
| Ethereum n=38, k=1.2 |
93.6% | 28.7% | -48.6% | -95.6% | 1.55 | 74 | 42% |
| XRP (Ripple) n=11, k=2.2 |
114.2% | 26.8% | -42.2% | -95.9% | 1.38 | 136 | 22% |
| Samsung Electronics n=143, k=1.4 |
11.2% | 14.2% | -39.6% | -64.8% | 0.58 | 50 | 43% |
| Apple (AAPL) n=130, k=1.5 |
17.0% | 18.8% | -70.5% | -82.2% | 0.71 | 93 | 49% |
When this one works
Bollinger band breakout belongs to the trend-following family. All of them earn in sustained directional moves and bleed costs in range-bound markets. The trade count and time in market columns above show how each variant leans.