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 8 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=8 |
56.7% | 43.7% | -39.3% | -86.8% | 1.40 | 63 | 32% |
| Ethereum entryN=22, exitN=4 |
66.9% | 30.2% | -44.1% | -95.6% | 1.38 | 103 | 29% |
| XRP (Ripple) entryN=34, exitN=2 |
95.3% | 29.5% | -46.8% | -95.9% | 1.33 | 63 | 11% |
| Samsung Electronics entryN=38, exitN=50 |
12.8% | 15.0% | -46.4% | -64.8% | 0.57 | 64 | 62% |
| Apple (AAPL) entryN=19, exitN=26 |
20.1% | 18.6% | -53.6% | -82.2% | 0.74 | 211 | 64% |
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.