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 32.7%, MDD -56.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.5%, drawdown -79.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 79.1%, MDD -57.4%, Sharpe 1.16, 60% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 77.6%p higher than buy and hold, while drawdown improves by 22.1%p (CAGR 32.7%, 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 |
79.1% | -57.4% | 1.16 | 1.38 | 19.5x | 33 | 60% |
| MACD fast=13, slow=44, signal=15 |
75.2% | -62.5% | 1.12 | 1.20 | 17.4x | 69 | 52% |
| 볼린저 밴드 돌파 n=28, k=1.4 |
40.0% | -65.0% | 0.83 | 0.61 | 5.5x | 46 | 50% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=5, mult=0.6 |
34.9% | -64.5% | 0.77 | 0.54 | 4.6x | 68 | 54% |
| ROC 모멘텀 n=12, threshold=0 |
34.2% | -64.3% | 0.75 | 0.53 | 4.5x | 145 | 59% |
| Donchian 채널 돌파 entryN=16, exitN=10 |
32.7% | -56.3% | 0.75 | 0.58 | 4.2x | 42 | 53% |
| ADX / DI 방향성 period=7, threshold=12 |
27.8% | -67.5% | 0.69 | 0.41 | 3.5x | 115 | 59% |
| Parabolic SAR step=0.01, maxStep=0.14 |
23.9% | -62.2% | 0.64 | 0.38 | 3.0x | 56 | 54% |
| Supertrend period=9, mult=2.6 |
23.3% | -57.5% | 0.64 | 0.40 | 2.9x | 48 | 49% |
| EMA 크로스오버 fast=22, slow=216 |
-17.1% | -73.2% | 0.05 | -0.23 | 0.4x | 12 | 47% |
| Buy and hold | 1.5% | -79.5% | 0.51 | 0.02 | 1.1x | 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