Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
SHIB backtest
10 trend-following strategies were compared on the full daily history of SHIB. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 47.9%, MDD -40.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.7%, drawdown -94.4%).
Sharpe leader (same as main): MACD — CAGR 70.2%, MDD -61.2%, Sharpe 0.99, 49% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 82.8%p higher than buy and hold, while drawdown improves by 33.2%p (CAGR 47.9%, MDD -40.6%, exposure 4%).
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=11, slow=51, signal=24 |
70.2% | -61.2% | 0.99 | 1.15 | 17.6x | 73 | 49% |
| Donchian 채널 돌파 entryN=114, exitN=7 |
47.9% | -40.6% | 0.88 | 1.18 | 8.3x | 6 | 4% |
| 볼린저 밴드 돌파 n=23, k=1.1 |
51.5% | -63.1% | 0.86 | 0.82 | 9.4x | 75 | 31% |
| Supertrend period=28, mult=4.2 |
49.7% | -68.9% | 0.84 | 0.72 | 8.8x | 21 | 32% |
| ROC 모멘텀 n=55, threshold=0.03 |
41.5% | -68.2% | 0.78 | 0.61 | 6.5x | 75 | 34% |
| SMA 크로스오버 fast=13, slow=39 |
40.4% | -66.8% | 0.77 | 0.61 | 6.3x | 49 | 40% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=11, mult=2.4 |
35.6% | -65.5% | 0.73 | 0.54 | 5.2x | 18 | 6% |
| EMA 크로스오버 fast=20, slow=27 |
34.6% | -70.9% | 0.71 | 0.49 | 5.0x | 47 | 36% |
| Parabolic SAR step=0.01, maxStep=0.36 |
21.3% | -82.1% | 0.59 | 0.26 | 2.8x | 73 | 37% |
| ADX / DI 방향성 period=17, threshold=11 |
18.8% | -71.5% | 0.57 | 0.26 | 2.5x | 97 | 42% |
| Buy and hold | -12.7% | -94.4% | 0.41 | -0.13 | 0.5x | 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 (11/51) crosses above its 24-day signal line
- Sell — Sell when the MACD line crosses back below the signal line