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 36-day average (1.4× volatility)
- Sell — Sell when the close falls back to the 36-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=36, k=1.4 |
85.7% | 43.7% | -36.8% | -86.8% | 1.76 | 63 | 42% |
| Ethereum n=38, k=1.1 |
95.0% | 30.2% | -48.6% | -95.6% | 1.56 | 77 | 42% |
| XRP (Ripple) n=11, k=2.2 |
120.2% | 29.5% | -42.2% | -95.9% | 1.42 | 131 | 22% |
| Samsung Electronics n=46, k=1.3 |
7.2% | 15.0% | -41.1% | -64.8% | 0.42 | 170 | 43% |
| Apple (AAPL) n=38, k=1.5 |
16.2% | 18.6% | -64.8% | -82.2% | 0.71 | 302 | 45% |
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.