Trend-Following Backtester · Guide · backtest 한국어
etf · US
Grayscale Ethereum Staking ETF Shares backtest
10 trend-following strategies were compared on the full daily history of Grayscale Ethereum Staking ETF Shares. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 61.1%, MDD -47.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 13.9%, drawdown -96.3%).
Sharpe leader (same as main): MACD — CAGR 80.2%, MDD -60.7%, Sharpe 1.16, 51% exposure.
CAGR reference leader: Parabolic SAR — CAGR 89.8%, MDD -91.2%, exposure 46%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 66.4%p higher than buy and hold, while drawdown improves by 35.6%p (CAGR 61.1%, MDD -47.7%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=14, slow=29, signal=11 |
80.2% | -60.7% | 1.16 | 1.32 | 66.7x | 99 | 51% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=7, mult=1 |
61.1% | -47.7% | 1.07 | 1.28 | 30.0x | 99 | 35% |
| 볼린저 밴드 돌파 n=22, k=1.6 |
54.0% | -56.4% | 0.98 | 0.96 | 21.7x | 67 | 34% |
| Supertrend period=28, mult=4.5 |
51.3% | -55.7% | 0.95 | 0.92 | 19.1x | 24 | 43% |
| ADX / DI 방향성 period=12, threshold=12 |
50.4% | -63.2% | 0.92 | 0.80 | 18.3x | 145 | 51% |
| ROC 모멘텀 n=85, threshold=0.02 |
43.8% | -76.0% | 0.86 | 0.58 | 13.3x | 60 | 51% |
| Donchian 채널 돌파 entryN=53, exitN=61 |
41.3% | -72.9% | 0.83 | 0.57 | 11.8x | 10 | 58% |
| EMA 크로스오버 fast=11, slow=85 |
40.4% | -71.3% | 0.83 | 0.57 | 11.2x | 18 | 47% |
| SMA 크로스오버 fast=11, slow=65 |
39.5% | -71.7% | 0.82 | 0.55 | 10.7x | 30 | 53% |
| Parabolic SAR step=0.015, maxStep=0.16 |
89.8% | -91.2% | 0.79 | 0.98 | 96.3x | 111 | 46% |
| Buy and hold | 13.9% | -96.3% | 0.62 | 0.14 | 2.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (14/29) crosses above its 11-day signal line
- Sell — Sell when the MACD line crosses back below the signal line