Trend-Following Backtester · Guide · backtest 한국어
equity · US
CleanSpark, Inc. backtest
10 trend-following strategies were compared on the full daily history of CleanSpark, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
8 of 10 beat buy and hold (CAGR -10.7%, drawdown -98.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 27.2%, MDD -81.2%, Sharpe 0.57, 39% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=11, slow=76 |
27.2% | -81.2% | 0.57 | 0.34 | 10.6x | 38 | 39% |
| MACD fast=19, slow=38, signal=18 |
9.0% | -95.9% | 0.56 | 0.09 | 2.3x | 94 | 52% |
| 볼린저 밴드 돌파 n=38, k=1.8 |
10.2% | -91.4% | 0.50 | 0.11 | 2.6x | 50 | 27% |
| ROC 모멘텀 n=17, threshold=0.08 |
1.4% | -94.9% | 0.42 | 0.01 | 1.1x | 186 | 32% |
| EMA 크로스오버 fast=26, slow=66 |
1.7% | -88.0% | 0.42 | 0.02 | 1.2x | 28 | 40% |
| ADX / DI 방향성 period=23, threshold=12 |
-8.1% | -96.2% | 0.37 | -0.08 | 0.4x | 96 | 43% |
| Supertrend period=7, mult=3.7 |
-12.6% | -98.9% | 0.35 | -0.13 | 0.3x | 52 | 52% |
| Donchian 채널 돌파 entryN=104, exitN=37 |
-5.1% | -81.0% | 0.29 | -0.06 | 0.6x | 16 | 28% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=18, mult=1.3 |
-8.3% | -97.4% | 0.27 | -0.09 | 0.4x | 66 | 29% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-19.3% | -98.7% | 0.19 | -0.20 | 0.1x | 143 | 40% |
| Buy and hold | -10.7% | -98.6% | 0.55 | -0.11 | 0.3x | 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 11-day average price crosses above the 76-day average
- Sell — Sell (to cash) when the 11-day average falls below the 76-day average