Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Bitcoin Cash backtest
10 trend-following strategies were compared on the full daily history of Bitcoin Cash. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 90.4%, MDD -49.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.0%, drawdown -98.3%).
Sharpe leader (same as main): Supertrend — CAGR 90.4%, MDD -49.0%, Sharpe 1.14, 41% exposure.
Return/drawdown alternative: Supertrend — CAGR is 99.4%p higher than buy and hold, while drawdown improves by 49.2%p (CAGR 90.4%, MDD -49.0%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=12, mult=1.4 |
90.4% | -49.0% | 1.14 | 1.84 | 327.3x | 190 | 41% |
| 볼린저 밴드 돌파 n=17, k=1.7 |
61.6% | -58.1% | 1.00 | 1.06 | 74.9x | 146 | 32% |
| Parabolic SAR step=0.065, maxStep=0.12 |
63.4% | -68.8% | 0.99 | 0.92 | 82.7x | 350 | 47% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=25, mult=1.5 |
58.6% | -52.7% | 0.97 | 1.11 | 63.3x | 70 | 28% |
| MACD fast=12, slow=50, signal=6 |
60.2% | -77.0% | 0.95 | 0.78 | 69.1x | 234 | 51% |
| EMA 크로스오버 fast=4, slow=12 |
59.2% | -55.7% | 0.93 | 1.06 | 65.5x | 238 | 45% |
| ADX / DI 방향성 period=6, threshold=24 |
57.5% | -66.8% | 0.92 | 0.86 | 59.3x | 334 | 42% |
| ROC 모멘텀 n=11, threshold=0.04 |
54.2% | -82.0% | 0.89 | 0.66 | 49.1x | 344 | 35% |
| SMA 크로스오버 fast=2, slow=24 |
45.5% | -64.7% | 0.84 | 0.70 | 29.2x | 218 | 45% |
| Donchian 채널 돌파 entryN=33, exitN=11 |
37.4% | -69.1% | 0.77 | 0.54 | 17.4x | 62 | 28% |
| Buy and hold | -9.0% | -98.3% | 0.42 | -0.09 | 0.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 12-day volatility, 1.4× band
- Sell — Sell when price drops below the trend line (flips down)