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 ADX / DI 방향성 (CAGR 63.6%, MDD -59.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.5%, drawdown -98.3%).
Sharpe leader (same as main): Supertrend — CAGR 73.8%, MDD -61.4%, Sharpe 1.06, 41% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 79.2%p higher than buy and hold, while drawdown improves by 36.9%p (CAGR 63.6%, MDD -59.4%, exposure 30%).
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=19, mult=1.2 |
73.8% | -61.4% | 1.06 | 1.20 | 132.7x | 216 | 41% |
| SMA 크로스오버 fast=3, slow=18 |
66.3% | -66.0% | 1.01 | 1.00 | 89.9x | 206 | 45% |
| ADX / DI 방향성 period=14, threshold=24 |
63.6% | -59.4% | 1.00 | 1.07 | 77.8x | 116 | 30% |
| 볼린저 밴드 돌파 n=15, k=0.4 |
63.7% | -68.4% | 0.98 | 0.93 | 78.4x | 274 | 42% |
| Parabolic SAR step=0.015, maxStep=0.1 |
62.1% | -59.8% | 0.97 | 1.04 | 71.9x | 180 | 44% |
| ROC 모멘텀 n=12, threshold=0.05 |
54.5% | -73.0% | 0.91 | 0.75 | 47.0x | 314 | 33% |
| Donchian 채널 돌파 entryN=31, exitN=15 |
50.7% | -69.9% | 0.89 | 0.73 | 37.7x | 48 | 34% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=10, mult=1.8 |
46.1% | -64.7% | 0.85 | 0.71 | 28.6x | 72 | 25% |
| MACD fast=12, slow=17, signal=8 |
44.6% | -80.7% | 0.83 | 0.55 | 26.1x | 272 | 52% |
| EMA 크로스오버 fast=8, slow=34 |
30.2% | -78.0% | 0.70 | 0.39 | 10.3x | 108 | 42% |
| Buy and hold | -5.5% | -98.3% | 0.45 | -0.06 | 0.6x | 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) — 19-day volatility, 1.2× band
- Sell — Sell when price drops below the trend line (flips down)