Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Shiba Inu backtest
10 trend-following strategies were compared on the full daily history of Shiba Inu. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 32.8%, MDD -35.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -22.8%, drawdown -89.5%).
Sharpe leader (same as main): MACD — CAGR 41.8%, MDD -58.9%, Sharpe 0.82, 47% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 64.6%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 32.8%, MDD -35.5%, exposure 21%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=17, slow=58, signal=15 |
41.8% | -58.9% | 0.82 | 0.71 | 3.3x | 45 | 47% |
| Donchian 채널 돌파 entryN=63, exitN=21 |
39.4% | -53.1% | 0.82 | 0.74 | 3.1x | 4 | 22% |
| 볼린저 밴드 돌파 n=40, k=1.8 |
36.8% | -52.9% | 0.78 | 0.70 | 2.9x | 23 | 23% |
| ROC 모멘텀 n=35, threshold=0.09 |
32.8% | -35.5% | 0.73 | 0.93 | 2.7x | 42 | 21% |
| SMA 크로스오버 fast=11, slow=53 |
31.1% | -55.1% | 0.71 | 0.56 | 2.5x | 22 | 35% |
| EMA 크로스오버 fast=42, slow=64 |
27.1% | -50.6% | 0.66 | 0.53 | 2.3x | 8 | 29% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=25, mult=1.3 |
26.2% | -51.7% | 0.65 | 0.51 | 2.2x | 27 | 21% |
| Supertrend period=29, mult=4 |
22.8% | -67.9% | 0.61 | 0.34 | 2.0x | 15 | 31% |
| ADX / DI 방향성 period=11, threshold=7 |
19.1% | -65.1% | 0.56 | 0.29 | 1.8x | 83 | 43% |
| Parabolic SAR step=0.025, maxStep=0.16 |
14.1% | -63.5% | 0.49 | 0.22 | 1.6x | 95 | 40% |
| Buy and hold | -22.8% | -89.5% | 0.07 | -0.25 | 0.4x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (17/58) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line