Trend-Following Backtester · Guide · Strategies 한국어
Strategies
Donchian channel breakout
A new high means a trend starting; a new low means it’s over (turtle-trading style).
The rules
- Buy — Buy on a breakout above the highest high of the last 37 days
- Sell — Sell when price breaks below the lowest low of the last 6 days
Those numbers are the values optimized for Bitcoin. They differ per asset — the table below lists each.
There are 2 tunable values: entryN, exitN. 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 4 of 5.
| Asset · parameters | CAGR | Hold CAGR | Max drawdown | Hold DD | Sharpe | Trades | Time in market |
|---|---|---|---|---|---|---|---|
| Bitcoin entryN=37, exitN=6 |
53.8% | 42.7% | -51.8% | -86.8% | 1.40 | 70 | 30% |
| Ethereum entryN=44, exitN=15 |
70.8% | 28.7% | -66.5% | -95.6% | 1.34 | 44 | 38% |
| XRP (Ripple) entryN=30, exitN=4 |
84.2% | 26.8% | -47.2% | -95.9% | 1.21 | 66 | 16% |
| Samsung Electronics entryN=37, exitN=50 |
12.5% | 14.2% | -46.4% | -64.8% | 0.56 | 66 | 62% |
| Apple (AAPL) entryN=30, exitN=47 |
20.7% | 18.8% | -70.9% | -82.2% | 0.73 | 117 | 70% |
When this one works
Donchian channel 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.