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; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 48.0%, MDD -36.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -18.5%, drawdown -88.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 48.0%, MDD -36.0%, Sharpe 0.94, 15% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 66.6%p higher than buy and hold, while drawdown improves by 52.0%p (CAGR 48.0%, MDD -36.0%, exposure 15%).
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=15, atrPeriod=21, mult=1.3 |
48.0% | -36.0% | 0.94 | 1.33 | 4.0x | 25 | 15% |
| 볼린저 밴드 돌파 n=26, k=2.6 |
43.2% | -41.0% | 0.87 | 1.05 | 3.6x | 19 | 18% |
| Donchian 채널 돌파 entryN=59, exitN=20 |
34.4% | -49.2% | 0.76 | 0.70 | 2.8x | 8 | 25% |
| EMA 크로스오버 fast=19, slow=113 |
32.3% | -47.0% | 0.73 | 0.69 | 2.7x | 6 | 27% |
| MACD fast=16, slow=55, signal=14 |
33.2% | -65.5% | 0.73 | 0.51 | 2.8x | 51 | 48% |
| ROC 모멘텀 n=36, threshold=0.03 |
32.3% | -51.4% | 0.73 | 0.63 | 2.7x | 72 | 30% |
| Supertrend period=13, mult=2.3 |
25.4% | -58.0% | 0.64 | 0.44 | 2.2x | 34 | 31% |
| SMA 크로스오버 fast=51, slow=152 |
24.7% | -53.5% | 0.63 | 0.46 | 2.2x | 8 | 26% |
| ADX / DI 방향성 period=30, threshold=9 |
22.1% | -54.8% | 0.60 | 0.40 | 2.0x | 43 | 40% |
| Parabolic SAR step=0.015, maxStep=0.08 |
22.1% | -74.6% | 0.60 | 0.30 | 2.0x | 59 | 38% |
| Buy and hold | -18.5% | -88.0% | 0.13 | -0.21 | 0.5x | 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 15-day average + 1.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 15-day average