Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cipher Digital Inc. backtest
10 trend-following strategies were compared on the full daily history of Cipher Digital Inc.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 35.5%, MDD -63.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 7.9%, drawdown -97.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 35.5%, MDD -63.2%, Sharpe 0.77, 38% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 27.6%p higher than buy and hold, while drawdown improves by 34.0%p (CAGR 35.5%, MDD -63.2%, exposure 38%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=38, k=1.1 |
35.5% | -63.2% | 0.77 | 0.56 | 5.9x | 44 | 38% |
| SMA 크로스오버 fast=60, slow=249 |
30.9% | -69.1% | 0.73 | 0.45 | 4.9x | 7 | 53% |
| Supertrend period=13, mult=3.1 |
31.3% | -68.7% | 0.72 | 0.46 | 4.9x | 34 | 45% |
| EMA 크로스오버 fast=57, slow=246 |
23.5% | -67.9% | 0.66 | 0.35 | 3.4x | 5 | 50% |
| Donchian 채널 돌파 entryN=17, exitN=92 |
14.2% | -85.9% | 0.62 | 0.17 | 2.2x | 17 | 76% |
| MACD fast=17, slow=59, signal=17 |
20.6% | -80.8% | 0.62 | 0.26 | 3.0x | 58 | 48% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=29, mult=1.2 |
20.6% | -69.9% | 0.60 | 0.29 | 3.0x | 56 | 31% |
| ADX / DI 방향성 period=24, threshold=7 |
10.3% | -75.0% | 0.53 | 0.14 | 1.8x | 88 | 64% |
| ROC 모멘텀 n=14, threshold=-0.01 |
9.9% | -86.6% | 0.51 | 0.11 | 1.7x | 146 | 55% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-10.1% | -81.7% | 0.26 | -0.12 | 0.5x | 78 | 45% |
| Buy and hold | 7.9% | -97.2% | 0.62 | 0.08 | 1.6x | 1 | 100% |
Rules of the top strategy
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 38-day average (1.1× volatility)
- Sell — Sell when the close falls back to the 38-day middle average