Trend-Following Backtester · Guide · Assets 한국어
Assets
Ethereum backtest
The reserve asset of smart-contract platforms. It tracks Bitcoin closely but tends to fall further in drawdowns.
Results by strategy
10 of 10 beat buy and hold (CAGR 27.1%, drawdown -95.6%). Sorted by CAGR.
| Strategy · parameters | CAGR | Max drawdown | Sharpe | Calmar | Total return | Trades | Time in market |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=2.4 |
97.2% | -48.5% | 1.54 | 2.00 | 404.7x | 93 | 47% |
| Parabolic SAR step=0.01, maxStep=0.38 |
95.0% | -47.8% | 1.54 | 1.98 | 366.6x | 149 | 47% |
| Bollinger band breakout n=38, k=1.2 |
94.8% | -48.6% | 1.56 | 1.95 | 364.6x | 71 | 41% |
| SMA crossover fast=6, slow=32 |
89.6% | -49.0% | 1.42 | 1.83 | 286.7x | 107 | 50% |
| EMA crossover fast=5, slow=26 |
85.9% | -51.4% | 1.39 | 1.67 | 240.6x | 121 | 50% |
| MACD fast=15, slow=41, signal=11 |
84.6% | -52.8% | 1.38 | 1.60 | 226.5x | 145 | 51% |
| Keltner channel breakout emaPeriod=55, atrPeriod=10, mult=2 |
82.3% | -57.6% | 1.43 | 1.43 | 202.3x | 44 | 40% |
| ADX / DI directional period=11, threshold=10 |
81.7% | -41.3% | 1.39 | 1.98 | 196.1x | 209 | 46% |
| Donchian channel breakout entryN=16, exitN=7 |
76.3% | -54.7% | 1.33 | 1.39 | 150.6x | 97 | 42% |
| ROC momentum n=18, threshold=0.06 |
74.6% | -43.4% | 1.34 | 1.72 | 138.0x | 212 | 36% |
| Buy & hold | 27.1% | -95.6% | 0.70 | 0.28 | 8.3x | 1 | 100% |
The rules, strategy by strategy
Supertrend
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) — 8-day volatility, 2.4× band
- Sell Sell when price drops below the trend line (flips down)
- CAGR
- 97.2%
- Max drawdown
- -48.5%
- Sharpe
- 1.54
- Trades
- 93
- Time in market
- 47%
- Win rate
- 51%
Parabolic SAR
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy Buy when price rises above the SAR dots
- Sell Sell when price falls below the SAR dots
- CAGR
- 95.0%
- Max drawdown
- -47.8%
- Sharpe
- 1.54
- Trades
- 149
- Time in market
- 47%
- Win rate
- 50%
Bollinger band breakout
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 38-day average (1.2× volatility)
- Sell Sell when the close falls back to the 38-day middle average
- CAGR
- 94.8%
- Max drawdown
- -48.6%
- Sharpe
- 1.56
- Trades
- 71
- Time in market
- 41%
- Win rate
- 52%
SMA crossover
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy Buy when the 6-day average price crosses above the 32-day average
- Sell Sell (to cash) when the 6-day average falls below the 32-day average
- CAGR
- 89.6%
- Max drawdown
- -49.0%
- Sharpe
- 1.42
- Trades
- 107
- Time in market
- 50%
- Win rate
- 51%
EMA crossover
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy Buy when the 5-day EMA crosses above the 26-day EMA
- Sell Sell when the 5-day EMA falls below the 26-day EMA
- CAGR
- 85.9%
- Max drawdown
- -51.4%
- Sharpe
- 1.39
- Trades
- 121
- Time in market
- 50%
- Win rate
- 51%
MACD
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy Buy when the MACD line (15/41) crosses above its 11-day signal line
- Sell Sell when the MACD line crosses back below the signal line
- CAGR
- 84.6%
- Max drawdown
- -52.8%
- Sharpe
- 1.38
- Trades
- 145
- Time in market
- 51%
- Win rate
- 50%
Keltner channel breakout
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy Buy when the close breaks above the 55-day average + 2× volatility (Keltner top)
- Sell Sell when the close falls back to the 55-day average
- CAGR
- 82.3%
- Max drawdown
- -57.6%
- Sharpe
- 1.43
- Trades
- 44
- Time in market
- 40%
- Win rate
- 53%
ADX / DI directional
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 11-day) is ≥ 10
- Sell Sell when direction flips or the trend weakens (ADX < 10)
- CAGR
- 81.7%
- Max drawdown
- -41.3%
- Sharpe
- 1.39
- Trades
- 209
- Time in market
- 46%
- Win rate
- 50%
Donchian channel breakout
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy Buy on a breakout above the highest high of the last 16 days
- Sell Sell when price breaks below the lowest low of the last 7 days
- CAGR
- 76.3%
- Max drawdown
- -54.7%
- Sharpe
- 1.33
- Trades
- 97
- Time in market
- 42%
- Win rate
- 50%
ROC momentum
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy Buy when the last 18-day return is greater than 6%
- Sell Sell when the 18-day return drops to 6% or below
- CAGR
- 74.6%
- Max drawdown
- -43.4%
- Sharpe
- 1.34
- Trades
- 212
- Time in market
- 36%
- Win rate
- 48%