Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Ethereum Classic backtest
10 trend-following strategies were compared on the full daily history of Ethereum Classic. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 58.9%, MDD -44.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.4%, drawdown -95.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 58.9%, MDD -44.1%, Sharpe 1.06, 16% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 68.3%p higher than buy and hold, while drawdown improves by 51.0%p (CAGR 58.9%, MDD -44.1%, exposure 16%).
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=17, k=2.6 |
58.9% | -44.1% | 1.06 | 1.34 | 43.3x | 58 | 16% |
| Donchian 채널 돌파 entryN=33, exitN=3 |
44.6% | -54.4% | 0.93 | 0.82 | 20.0x | 62 | 12% |
| SMA 크로스오버 fast=9, slow=66 |
35.1% | -73.0% | 0.76 | 0.48 | 11.5x | 60 | 39% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=7, mult=1.7 |
32.8% | -61.5% | 0.75 | 0.53 | 10.0x | 64 | 20% |
| EMA 크로스오버 fast=19, slow=33 |
33.7% | -71.9% | 0.75 | 0.47 | 10.6x | 58 | 38% |
| ADX / DI 방향성 period=33, threshold=12 |
33.3% | -69.4% | 0.74 | 0.48 | 10.4x | 74 | 29% |
| ROC 모멘텀 n=31, threshold=0.01 |
32.7% | -70.6% | 0.73 | 0.46 | 10.0x | 190 | 40% |
| Supertrend period=4, mult=4.5 |
29.3% | -72.7% | 0.71 | 0.40 | 8.1x | 30 | 53% |
| MACD fast=16, slow=58, signal=19 |
17.8% | -85.2% | 0.58 | 0.21 | 3.8x | 127 | 52% |
| Parabolic SAR step=0.035, maxStep=0.12 |
7.0% | -86.3% | 0.43 | 0.08 | 1.7x | 269 | 45% |
| Buy and hold | -9.4% | -95.1% | 0.39 | -0.10 | 0.4x | 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 17-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 17-day middle average