Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bitdeer Technologies Group backtest
10 trend-following strategies were compared on the full daily history of Bitdeer Technologies Group. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 33.3%, MDD -56.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.9%, drawdown -79.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 82.7%, MDD -57.4%, Sharpe 1.18, 61% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 81.8%p higher than buy and hold, while drawdown improves by 22.1%p (CAGR 33.3%, MDD -56.3%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=9, slow=27 |
82.7% | -57.4% | 1.18 | 1.44 | 20.4x | 32 | 61% |
| MACD fast=13, slow=44, signal=15 |
75.7% | -62.5% | 1.12 | 1.21 | 16.8x | 68 | 52% |
| 볼린저 밴드 돌파 n=28, k=1.4 |
40.8% | -65.0% | 0.84 | 0.63 | 5.5x | 46 | 51% |
| ROC 모멘텀 n=12, threshold=0 |
36.9% | -64.3% | 0.78 | 0.57 | 4.8x | 140 | 59% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=5, mult=0.6 |
35.6% | -64.5% | 0.78 | 0.55 | 4.6x | 68 | 55% |
| Donchian 채널 돌파 entryN=16, exitN=10 |
33.3% | -56.3% | 0.75 | 0.59 | 4.2x | 42 | 53% |
| Parabolic SAR step=0.01, maxStep=0.14 |
29.4% | -62.2% | 0.70 | 0.47 | 3.6x | 54 | 54% |
| ADX / DI 방향성 period=7, threshold=12 |
27.7% | -67.5% | 0.69 | 0.41 | 3.4x | 112 | 59% |
| Supertrend period=9, mult=2.6 |
23.7% | -57.5% | 0.64 | 0.41 | 2.9x | 48 | 49% |
| EMA 크로스오버 fast=22, slow=216 |
-17.4% | -73.2% | 0.05 | -0.24 | 0.4x | 12 | 48% |
| Buy and hold | 0.9% | -79.5% | 0.50 | 0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 9-day average price crosses above the 27-day average
- Sell — Sell (to cash) when the 9-day average falls below the 27-day average