Trend-Following Backtester · Guide · Strategies 한국어
Strategies
Bollinger band breakout
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
The rules
- Buy — Buy when the close breaks above the upper band of the 38-day average (1.6× volatility)
- Sell — Sell when the close falls back to the 38-day middle average
Those numbers are the values optimized for Bitcoin. They differ per asset — the table below lists each.
There are 2 tunable values: n, k. Fewer knobs make it harder to fit noise, so a count this low keeps overfitting risk relatively contained.
Results by asset
The same strategy across 5 very different assets, each over its full history, with parameters optimized per asset. It beat buy and hold on 3 of 5.
| Asset · parameters | CAGR | Hold CAGR | Max drawdown | Hold DD | Sharpe | Trades | Time in market |
|---|---|---|---|---|---|---|---|
| Bitcoin n=38, k=1.6 |
83.3% | 43.0% | -41.2% | -86.8% | 1.74 | 57 | 40% |
| Ethereum n=34, k=1.1 |
93.9% | 29.8% | -39.9% | -95.6% | 1.54 | 89 | 41% |
| XRP (Ripple) n=16, k=1.9 |
113.5% | 28.3% | -45.3% | -95.9% | 1.37 | 122 | 26% |
| Samsung Electronics n=203, k=1.5 |
11.5% | 15.2% | -44.1% | -64.8% | 0.58 | 33 | 45% |
| Apple (AAPL) n=135, k=1.5 |
17.3% | 18.6% | -70.6% | -82.2% | 0.72 | 87 | 49% |
When this one works
Bollinger band breakout belongs to the trend-following family. All of them earn in sustained directional moves and bleed costs in range-bound markets. The trade count and time in market columns above show how each variant leans.