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; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 72.3%, MDD -40.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 40.9%, drawdown -86.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 81.8%, MDD -41.5%, Sharpe 1.71, 40% exposure.
Return/drawdown alternative: Supertrend — CAGR is 40.8%p higher than buy and hold, while drawdown improves by 45.3%p (CAGR 72.3%, MDD -40.2%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=37, k=1.6 |
81.8% | -41.5% | 1.71 | 1.97 | 197.6x | 58 | 40% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=15, mult=2.4 |
74.5% | -43.4% | 1.65 | 1.71 | 137.4x | 48 | 34% |
| ROC 모멘텀 n=35, threshold=0.1 |
67.6% | -58.7% | 1.50 | 1.15 | 96.4x | 132 | 34% |
| Supertrend period=6, mult=2.1 |
72.3% | -40.2% | 1.48 | 1.80 | 123.0x | 114 | 49% |
| EMA 크로스오버 fast=5, slow=32 |
71.9% | -55.4% | 1.47 | 1.30 | 120.7x | 102 | 51% |
| SMA 크로스오버 fast=2, slow=37 |
71.6% | -57.4% | 1.46 | 1.25 | 118.7x | 142 | 51% |
| ADX / DI 방향성 period=24, threshold=9 |
66.2% | -52.1% | 1.43 | 1.27 | 89.7x | 132 | 48% |
| Donchian 채널 돌파 entryN=37, exitN=6 |
55.4% | -51.8% | 1.43 | 1.07 | 49.3x | 66 | 29% |
| Parabolic SAR step=0.01, maxStep=0.34 |
67.8% | -44.1% | 1.42 | 1.54 | 97.3x | 157 | 52% |
| MACD fast=14, slow=24, signal=14 |
55.9% | -59.8% | 1.25 | 0.93 | 50.9x | 168 | 52% |
| Buy and hold | 40.9% | -86.8% | 0.87 | 0.47 | 20.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 37-day average (1.6× volatility)
- Sell — Sell when the close falls back to the 37-day middle average