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 29.8%, drawdown -95.6%). Sorted by CAGR.
| Strategy · parameters | CAGR | Max drawdown | Sharpe | Calmar | Total return | Trades | Time in market |
|---|---|---|---|---|---|---|---|
| Supertrend period=6, mult=2.3 |
114.7% | -44.3% | 1.68 | 2.59 | 933.3x | 93 | 48% |
| Parabolic SAR step=0.01, maxStep=0.26 |
105.8% | -39.7% | 1.65 | 2.66 | 639.3x | 151 | 47% |
| Bollinger band breakout n=34, k=1.1 |
93.9% | -39.9% | 1.54 | 2.35 | 375.5x | 89 | 41% |
| EMA crossover fast=9, slow=22 |
91.5% | -46.2% | 1.45 | 1.98 | 335.6x | 103 | 50% |
| SMA crossover fast=6, slow=31 |
90.3% | -45.5% | 1.43 | 1.98 | 317.1x | 113 | 49% |
| MACD fast=18, slow=55, signal=19 |
89.5% | -67.2% | 1.42 | 1.33 | 305.6x | 101 | 51% |
| ADX / DI directional period=16, threshold=11 |
81.1% | -43.1% | 1.40 | 1.88 | 203.5x | 167 | 46% |
| Keltner channel breakout emaPeriod=56, atrPeriod=21, mult=2 |
81.0% | -57.6% | 1.42 | 1.41 | 202.5x | 45 | 40% |
| Donchian channel breakout entryN=22, exitN=15 |
80.1% | -64.4% | 1.35 | 1.24 | 193.7x | 57 | 49% |
| ROC momentum n=18, threshold=0.06 |
77.4% | -43.4% | 1.37 | 1.78 | 169.4x | 218 | 36% |
| Buy & hold | 29.8% | -95.6% | 0.73 | 0.31 | 10.4x | 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) — 6-day volatility, 2.3× band
- Sell Sell when price drops below the trend line (flips down)
- CAGR
- 114.7%
- Max drawdown
- -44.3%
- Sharpe
- 1.68
- Trades
- 93
- Time in market
- 48%
- 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
- 105.8%
- Max drawdown
- -39.7%
- Sharpe
- 1.65
- Trades
- 151
- 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 34-day average (1.1× volatility)
- Sell Sell when the close falls back to the 34-day middle average
- CAGR
- 93.9%
- Max drawdown
- -39.9%
- Sharpe
- 1.54
- Trades
- 89
- Time in market
- 41%
- Win rate
- 51%
EMA crossover
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy Buy when the 9-day EMA crosses above the 22-day EMA
- Sell Sell when the 9-day EMA falls below the 22-day EMA
- CAGR
- 91.5%
- Max drawdown
- -46.2%
- Sharpe
- 1.45
- Trades
- 103
- Time in market
- 50%
- Win rate
- 51%
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 31-day average
- Sell Sell (to cash) when the 6-day average falls below the 31-day average
- CAGR
- 90.3%
- Max drawdown
- -45.5%
- Sharpe
- 1.43
- Trades
- 113
- Time in market
- 49%
- 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 (18/55) crosses above its 19-day signal line
- Sell Sell when the MACD line crosses back below the signal line
- CAGR
- 89.5%
- Max drawdown
- -67.2%
- Sharpe
- 1.42
- Trades
- 101
- Time in market
- 51%
- Win rate
- 51%
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, 16-day) is ≥ 11
- Sell Sell when direction flips or the trend weakens (ADX < 11)
- CAGR
- 81.1%
- Max drawdown
- -43.1%
- Sharpe
- 1.40
- Trades
- 167
- Time in market
- 46%
- 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 56-day average + 2× volatility (Keltner top)
- Sell Sell when the close falls back to the 56-day average
- CAGR
- 81.0%
- Max drawdown
- -57.6%
- Sharpe
- 1.42
- Trades
- 45
- Time in market
- 40%
- Win rate
- 53%
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 22 days
- Sell Sell when price breaks below the lowest low of the last 15 days
- CAGR
- 80.1%
- Max drawdown
- -64.4%
- Sharpe
- 1.35
- Trades
- 57
- Time in market
- 49%
- Win rate
- 52%
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
- 77.4%
- Max drawdown
- -43.4%
- Sharpe
- 1.37
- Trades
- 218
- Time in market
- 36%
- Win rate
- 48%