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; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 172.0%, MDD -39.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 70.0%, drawdown -95.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 172.0%, MDD -39.9%, Sharpe 1.92, 39% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 102.0%p higher than buy and hold, while drawdown improves by 55.4%p (CAGR 172.0%, MDD -39.9%, exposure 39%).
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=18, atrPeriod=8, mult=1 |
172.0% | -39.9% | 1.92 | 4.31 | 18808.3x | 140 | 39% |
| 볼린저 밴드 돌파 n=21, k=0.9 |
165.6% | -41.3% | 1.84 | 4.01 | 14909.3x | 168 | 44% |
| Supertrend period=10, mult=1.9 |
152.4% | -42.6% | 1.80 | 3.58 | 9018.9x | 139 | 46% |
| Donchian 채널 돌파 entryN=11, exitN=6 |
155.3% | -39.9% | 1.80 | 3.89 | 10104.7x | 140 | 44% |
| ADX / DI 방향성 period=8, threshold=18 |
153.8% | -44.0% | 1.78 | 3.50 | 9532.3x | 280 | 47% |
| MACD fast=10, slow=66, signal=17 |
158.1% | -50.7% | 1.74 | 3.12 | 11257.2x | 145 | 52% |
| EMA 크로스오버 fast=4, slow=26 |
158.0% | -50.5% | 1.73 | 3.13 | 11183.4x | 142 | 51% |
| SMA 크로스오버 fast=6, slow=40 |
154.1% | -52.9% | 1.70 | 2.91 | 9635.7x | 91 | 53% |
| ROC 모멘텀 n=25, threshold=-0.03 |
139.0% | -61.6% | 1.57 | 2.26 | 5273.6x | 243 | 59% |
| Parabolic SAR step=0.01, maxStep=0.42 |
123.7% | -55.9% | 1.57 | 2.21 | 2748.2x | 153 | 47% |
| Buy and hold | 70.0% | -95.4% | 1.04 | 0.73 | 184.9x | 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 18-day average + 1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 18-day average