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; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 71.4%, MDD -40.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 46.2%, drawdown -85.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 75.0%, MDD -42.3%, Sharpe 1.57, 37% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 78.3%, MDD -41.6%, exposure 42%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 28.8%p higher than buy and hold, while drawdown improves by 43.4%p (CAGR 71.4%, MDD -40.0%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=11, mult=1.9 |
75.0% | -42.3% | 1.57 | 1.77 | 1147.7x | 90 | 37% |
| 볼린저 밴드 돌파 n=46, k=1.3 |
78.3% | -41.6% | 1.56 | 1.88 | 1454.2x | 82 | 42% |
| Donchian 채널 돌파 entryN=25, exitN=11 |
71.4% | -40.0% | 1.51 | 1.79 | 887.0x | 94 | 41% |
| ADX / DI 방향성 period=26, threshold=8 |
73.9% | -45.6% | 1.47 | 1.62 | 1064.4x | 172 | 50% |
| Supertrend period=7, mult=2.2 |
67.4% | -64.8% | 1.42 | 1.04 | 657.6x | 154 | 47% |
| MACD fast=13, slow=23, signal=19 |
74.3% | -55.0% | 1.41 | 1.35 | 1090.0x | 200 | 53% |
| SMA 크로스오버 fast=4, slow=31 |
68.9% | -52.3% | 1.39 | 1.32 | 736.8x | 186 | 53% |
| EMA 크로스오버 fast=7, slow=99 |
70.6% | -61.4% | 1.36 | 1.15 | 834.6x | 48 | 56% |
| ROC 모멘텀 n=34, threshold=0 |
67.6% | -73.5% | 1.32 | 0.92 | 668.2x | 256 | 55% |
| Parabolic SAR step=0.01, maxStep=0.2 |
48.3% | -58.6% | 1.10 | 0.82 | 142.7x | 194 | 50% |
| Buy and hold | 46.2% | -85.7% | 0.92 | 0.54 | 119.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 30-day average + 1.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 30-day average