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 35-day average + 2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 35-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=35, atrPeriod=17, mult=2 |
73.1% | 42.7% | -40.8% | -86.8% | 1.60 | 58 | 37% |
| Ethereum emaPeriod=51, atrPeriod=12, mult=1.6 |
83.7% | 28.7% | -47.5% | -95.6% | 1.45 | 62 | 42% |
| XRP (Ripple) emaPeriod=10, atrPeriod=9, mult=1.2 |
99.8% | 26.8% | -52.1% | -95.9% | 1.29 | 112 | 20% |
| Samsung Electronics emaPeriod=141, atrPeriod=50, mult=3.6 |
9.6% | 14.2% | -41.0% | -64.8% | 0.52 | 50 | 42% |
| Apple (AAPL) emaPeriod=195, atrPeriod=8, mult=1 |
18.0% | 18.8% | -77.1% | -82.2% | 0.70 | 165 | 62% |
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.