Trend-Following Backtester · Guide · backtest 한국어
equity · US
TeraWulf Inc. backtest
10 trend-following strategies were compared on the full daily history of TeraWulf Inc.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.3%, MDD -52.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.1%, drawdown -98.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.5%, MDD -83.9%, Sharpe 0.53, 65% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.4%p higher than buy and hold, while drawdown improves by 14.8%p (CAGR 7.3%, MDD -52.3%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=52, exitN=84 |
15.5% | -83.9% | 0.53 | 0.18 | 107.1x | 43 | 65% |
| SMA 크로스오버 fast=54, slow=118 |
11.4% | -75.4% | 0.46 | 0.15 | 32.6x | 66 | 54% |
| EMA 크로스오버 fast=48, slow=217 |
10.3% | -86.7% | 0.44 | 0.12 | 24.1x | 41 | 55% |
| ADX / DI 방향성 period=50, threshold=26 |
7.3% | -52.3% | 0.39 | 0.14 | 9.8x | 16 | 8% |
| ROC 모멘텀 n=123, threshold=-0.03 |
-2.0% | -98.5% | 0.24 | -0.02 | 0.5x | 347 | 58% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-5.8% | -99.1% | 0.14 | -0.06 | 0.1x | 192 | 45% |
| MACD fast=38, slow=88, signal=30 |
-9.5% | -99.8% | 0.11 | -0.10 | 0.0x | 198 | 51% |
| 볼린저 밴드 돌파 n=46, k=2.3 |
-5.5% | -99.7% | 0.07 | -0.06 | 0.2x | 164 | 29% |
| Supertrend period=11, mult=4.9 |
-12.7% | -100.0% | 0.03 | -0.13 | 0.0x | 258 | 54% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=20, mult=3.3 |
-11.3% | -99.9% | -0.08 | -0.11 | 0.0x | 188 | 29% |
| Buy and hold | 8.1% | -98.7% | 0.47 | 0.08 | 12.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 52 days
- Sell — Sell when price breaks below the lowest low of the last 84 days