Trend-Following Backtester · Guide · Strategies 한국어
Strategies
Keltner channel breakout
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
The rules
- Buy — Buy when the close breaks above the 33-day average + 1.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 33-day average
Those numbers are the values optimized for Bitcoin. They differ per asset — the table below lists each.
There are 3 tunable values: emaPeriod, atrPeriod, mult. 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 emaPeriod=33, atrPeriod=22, mult=1.9 |
74.6% | 41.2% | -40.8% | -86.8% | 1.63 | 58 | 36% |
| Ethereum emaPeriod=55, atrPeriod=10, mult=2 |
82.3% | 27.1% | -57.6% | -95.6% | 1.43 | 44 | 40% |
| XRP (Ripple) emaPeriod=7, atrPeriod=11, mult=1.2 |
103.7% | 25.7% | -36.8% | -95.9% | 1.34 | 94 | 14% |
| Samsung Electronics emaPeriod=57, atrPeriod=10, mult=3.6 |
6.0% | 14.2% | -40.1% | -64.8% | 0.39 | 80 | 30% |
| Apple (AAPL) emaPeriod=42, atrPeriod=19, mult=3.2 |
12.0% | 18.8% | -55.9% | -82.2% | 0.63 | 171 | 34% |
When this one works
Keltner channel 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.