Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Ethereum backtest
10 trend-following strategies were compared on the full daily history of Ethereum. 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 72.1%, MDD -43.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 22.5%, drawdown -94.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 72.1%, MDD -43.5%, Sharpe 1.25, 41% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 49.6%p higher than buy and hold, while drawdown improves by 50.5%p (CAGR 72.1%, MDD -43.5%, 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=38, k=1 |
72.1% | -43.5% | 1.25 | 1.66 | 128.8x | 87 | 41% |
| Supertrend period=29, mult=3 |
66.9% | -54.5% | 1.20 | 1.23 | 98.3x | 63 | 44% |
| MACD fast=19, slow=54, signal=15 |
71.3% | -52.6% | 1.18 | 1.35 | 123.9x | 115 | 51% |
| SMA 크로스오버 fast=10, slow=36 |
64.6% | -64.9% | 1.12 | 1.00 | 86.5x | 89 | 49% |
| Parabolic SAR step=0.005, maxStep=0.2 |
58.3% | -54.4% | 1.09 | 1.07 | 61.1x | 95 | 47% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=8, mult=2.1 |
51.9% | -52.2% | 1.06 | 1.00 | 42.2x | 50 | 35% |
| EMA 크로스오버 fast=16, slow=32 |
55.6% | -57.4% | 1.02 | 0.97 | 52.3x | 69 | 49% |
| ROC 모멘텀 n=28, threshold=0.11 |
48.1% | -50.9% | 1.01 | 0.94 | 33.7x | 179 | 33% |
| Donchian 채널 돌파 entryN=36, exitN=19 |
47.6% | -63.5% | 0.97 | 0.75 | 32.6x | 47 | 43% |
| ADX / DI 방향성 period=15, threshold=7 |
47.9% | -57.2% | 0.97 | 0.84 | 33.2x | 197 | 45% |
| Buy and hold | 22.5% | -94.0% | 0.67 | 0.24 | 6.1x | 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 38-day average (1× volatility)
- Sell — Sell when the close falls back to the 38-day middle average