Trend-Following Backtester · Guide · backtest 한국어
etf · US
Grayscale Bitcoin Trust (BTC) backtest
10 trend-following strategies were compared on the full daily history of Grayscale Bitcoin Trust (BTC). 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 57.6%, MDD -48.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 50.4%, drawdown -89.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 71.1%, MDD -71.0%, Sharpe 1.16, 55% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 20.6%p higher than buy and hold, while drawdown improves by 19.0%p (CAGR 57.6%, MDD -48.8%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=30, slow=35 |
71.1% | -71.0% | 1.16 | 1.00 | 413.4x | 36 | 55% |
| SMA 크로스오버 fast=34, slow=185 |
71.0% | -73.6% | 1.15 | 0.96 | 411.1x | 12 | 59% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=17, mult=1.6 |
65.9% | -60.2% | 1.15 | 1.09 | 293.4x | 60 | 46% |
| 볼린저 밴드 돌파 n=29, k=2.6 |
57.6% | -48.8% | 1.14 | 1.18 | 164.3x | 48 | 26% |
| Donchian 채널 돌파 entryN=87, exitN=43 |
64.3% | -68.6% | 1.11 | 0.94 | 262.3x | 20 | 47% |
| ROC 모멘텀 n=86, threshold=0 |
66.4% | -75.3% | 1.10 | 0.88 | 302.8x | 80 | 57% |
| MACD fast=17, slow=35, signal=7 |
58.6% | -76.8% | 1.06 | 0.76 | 177.0x | 173 | 52% |
| Supertrend period=8, mult=4.9 |
58.3% | -84.1% | 1.04 | 0.69 | 173.1x | 38 | 58% |
| Parabolic SAR step=0.015, maxStep=0.34 |
50.5% | -86.2% | 0.99 | 0.59 | 98.5x | 181 | 51% |
| ADX / DI 방향성 period=11, threshold=22 |
46.5% | -73.6% | 0.98 | 0.63 | 72.7x | 148 | 30% |
| Buy and hold | 50.4% | -89.9% | 0.91 | 0.56 | 97.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 30-day EMA crosses above the 35-day EMA
- Sell — Sell when the 30-day EMA falls below the 35-day EMA