Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Bitcoin backtest
10 trend-following strategies were compared on the full daily history of Bitcoin. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 58.4%, MDD -49.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 34.9%, drawdown -83.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 62.5%, MDD -51.8%, Sharpe 1.33, 43% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 27.5%p higher than buy and hold, while drawdown improves by 31.4%p (CAGR 58.4%, MDD -49.5%, exposure 41%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=50, k=1.3 |
62.5% | -51.8% | 1.33 | 1.21 | 77.0x | 59 | 43% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=16, mult=1.6 |
58.4% | -49.5% | 1.28 | 1.18 | 61.4x | 58 | 41% |
| ROC 모멘텀 n=35, threshold=0.13 |
51.3% | -51.5% | 1.24 | 1.00 | 40.8x | 130 | 29% |
| Parabolic SAR step=0.01, maxStep=0.06 |
52.6% | -58.1% | 1.17 | 0.91 | 44.1x | 130 | 52% |
| EMA 크로스오버 fast=26, slow=37 |
52.2% | -58.5% | 1.12 | 0.89 | 43.0x | 54 | 51% |
| SMA 크로스오버 fast=8, slow=46 |
51.5% | -66.3% | 1.12 | 0.78 | 41.1x | 87 | 50% |
| Supertrend period=25, mult=5 |
48.7% | -52.2% | 1.10 | 0.93 | 34.9x | 30 | 47% |
| MACD fast=16, slow=19, signal=16 |
47.2% | -61.8% | 1.07 | 0.76 | 31.9x | 165 | 52% |
| ADX / DI 방향성 period=11, threshold=9 |
45.0% | -53.7% | 1.07 | 0.84 | 27.8x | 242 | 49% |
| Donchian 채널 돌파 entryN=42, exitN=14 |
41.9% | -60.4% | 1.02 | 0.69 | 22.9x | 50 | 39% |
| Buy and hold | 34.9% | -83.2% | 0.79 | 0.42 | 14.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 50-day average (1.3× volatility)
- Sell — Sell when the close falls back to the 50-day middle average