Trend-Following Backtester · Guide · Strategies 한국어
Strategies
Supertrend
Trades the direction of a volatility-based trend line that trails below/above price.
The rules
- Buy — Buy when price moves above the trend line (flips up) — 3-day volatility, 3.2× band
- Sell — Sell when price drops below the trend line (flips down)
Those numbers are the values optimized for Bitcoin. They differ per asset — the table below lists each.
There are 2 tunable values: period, 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 period=3, mult=3.2 |
76.6% | 42.7% | -62.8% | -86.8% | 1.50 | 74 | 53% |
| Ethereum period=6, mult=2.3 |
102.0% | 28.7% | -47.6% | -95.6% | 1.58 | 100 | 48% |
| XRP (Ripple) period=17, mult=2 |
68.2% | 26.8% | -71.2% | -95.9% | 1.03 | 118 | 37% |
| Samsung Electronics period=25, mult=4.6 |
9.3% | 14.2% | -52.1% | -64.8% | 0.49 | 102 | 52% |
| Apple (AAPL) period=19, mult=3.3 |
18.2% | 18.8% | -56.0% | -82.2% | 0.72 | 293 | 57% |
When this one works
Supertrend 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.