Trend-Following Backtester · Guide · backtest 한국어
equity · US
Coinbase Global, Inc. backtest
10 trend-following strategies were compared on the full daily history of Coinbase Global, Inc.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 21.6%, MDD -29.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.9%, drawdown -90.9%).
Sharpe leader (same as main): MACD — CAGR 31.1%, MDD -70.3%, Sharpe 0.74, 47% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 41.1%p higher than buy and hold, while drawdown improves by 20.6%p (CAGR 21.6%, MDD -29.5%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=20, slow=42, signal=22 |
31.1% | -70.3% | 0.74 | 0.44 | 4.3x | 51 | 47% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=23, mult=2.7 |
21.6% | -29.5% | 0.72 | 0.73 | 2.9x | 21 | 15% |
| Supertrend period=26, mult=2.9 |
25.6% | -54.5% | 0.69 | 0.47 | 3.4x | 33 | 38% |
| ADX / DI 방향성 period=10, threshold=38 |
18.2% | -30.8% | 0.69 | 0.59 | 2.5x | 20 | 12% |
| ROC 모멘텀 n=25, threshold=0.12 |
20.4% | -55.9% | 0.61 | 0.37 | 2.7x | 73 | 27% |
| 볼린저 밴드 돌파 n=18, k=1.7 |
16.9% | -50.4% | 0.56 | 0.33 | 2.3x | 59 | 29% |
| Donchian 채널 돌파 entryN=20, exitN=61 |
16.3% | -57.2% | 0.55 | 0.29 | 2.3x | 15 | 65% |
| EMA 크로스오버 fast=22, slow=178 |
12.4% | -50.5% | 0.48 | 0.25 | 1.9x | 6 | 38% |
| SMA 크로스오버 fast=20, slow=129 |
10.8% | -48.1% | 0.45 | 0.22 | 1.7x | 10 | 45% |
| Parabolic SAR step=0.01, maxStep=0.3 |
4.0% | -71.6% | 0.35 | 0.06 | 1.2x | 71 | 46% |
| Buy and hold | -9.9% | -90.9% | 0.30 | -0.11 | 0.6x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (20/42) crosses above its 22-day signal line
- Sell — Sell when the MACD line crosses back below the signal line