Trend-Following Backtester · Guide · Strategies 한국어
Strategies
Keltner channel breakout
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
The rules
- Buy — Buy when the close breaks above the 36-day average + 2.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 36-day average
Those numbers are the values optimized for Bitcoin. They differ per asset — the table below lists each.
There are 3 tunable values: emaPeriod, atrPeriod, mult. 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 emaPeriod=36, atrPeriod=19, mult=2.4 |
75.3% | 43.7% | -45.5% | -86.8% | 1.66 | 47 | 35% |
| Ethereum emaPeriod=54, atrPeriod=9, mult=1.4 |
86.0% | 30.2% | -50.9% | -95.6% | 1.45 | 63 | 43% |
| XRP (Ripple) emaPeriod=8, atrPeriod=18, mult=1.3 |
91.7% | 29.5% | -39.1% | -95.9% | 1.26 | 85 | 13% |
| Samsung Electronics emaPeriod=45, atrPeriod=24, mult=1.7 |
6.8% | 15.0% | -49.0% | -64.8% | 0.40 | 178 | 42% |
| Apple (AAPL) emaPeriod=43, atrPeriod=16, mult=2.8 |
12.5% | 18.6% | -55.1% | -82.2% | 0.63 | 202 | 37% |
When this one works
Keltner 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.