Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hut 8 Corp. backtest
10 trend-following strategies were compared on the full daily history of Hut 8 Corp.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 64.3%, MDD -67.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 18.9%, drawdown -95.0%).
Sharpe leader (same as main): MACD — CAGR 82.8%, MDD -75.0%, Sharpe 1.11, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 63.9%p higher than buy and hold, while drawdown improves by 20.0%p (CAGR 64.3%, MDD -67.4%, 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 |
|---|---|---|---|---|---|---|---|
| MACD fast=22, slow=39, signal=24 |
82.8% | -75.0% | 1.11 | 1.10 | 167.1x | 66 | 52% |
| 볼린저 밴드 돌파 n=42, k=1.2 |
64.3% | -67.4% | 1.01 | 0.95 | 67.4x | 48 | 38% |
| ROC 모멘텀 n=27, threshold=0.11 |
52.4% | -70.4% | 0.91 | 0.74 | 35.6x | 132 | 39% |
| ADX / DI 방향성 period=20, threshold=11 |
51.4% | -80.4% | 0.89 | 0.64 | 33.6x | 120 | 53% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=20, mult=1.4 |
47.0% | -69.0% | 0.87 | 0.68 | 26.2x | 60 | 36% |
| Donchian 채널 돌파 entryN=37, exitN=22 |
44.2% | -78.5% | 0.84 | 0.56 | 22.3x | 30 | 40% |
| EMA 크로스오버 fast=26, slow=60 |
39.9% | -77.3% | 0.81 | 0.52 | 17.3x | 24 | 45% |
| Supertrend period=11, mult=3.4 |
39.8% | -79.2% | 0.80 | 0.50 | 17.1x | 54 | 50% |
| SMA 크로스오버 fast=38, slow=207 |
35.7% | -77.5% | 0.77 | 0.46 | 13.3x | 13 | 48% |
| Parabolic SAR step=0.03, maxStep=0.38 |
34.4% | -74.9% | 0.75 | 0.46 | 12.2x | 227 | 47% |
| Buy and hold | 18.9% | -95.0% | 0.70 | 0.20 | 4.4x | 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 (22/39) crosses above its 24-day signal line
- Sell — Sell when the MACD line crosses back below the signal line