Trend-Following Backtester · Guide · Strategies 한국어
Strategies
Supertrend
Trades the direction of a volatility-based trend line that trails below/above price.
The rules
- Buy — Buy when price moves above the trend line (flips up) — 6-day volatility, 2.1× band
- Sell — Sell when price drops below the trend line (flips down)
Those numbers are the values optimized for Bitcoin. They differ per asset — the table below lists each.
There are 2 tunable values: period, 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 period=6, mult=2.1 |
72.6% | 41.2% | -40.2% | -86.8% | 1.49 | 114 | 49% |
| Ethereum period=8, mult=2.4 |
97.2% | 27.1% | -48.5% | -95.6% | 1.54 | 93 | 47% |
| XRP (Ripple) period=8, mult=2.3 |
78.8% | 25.7% | -68.4% | -95.9% | 1.08 | 96 | 45% |
| Samsung Electronics period=32, mult=4.5 |
10.5% | 14.2% | -53.3% | -64.8% | 0.53 | 104 | 54% |
| Apple (AAPL) period=25, mult=3.4 |
18.2% | 18.8% | -55.9% | -82.2% | 0.72 | 279 | 57% |
When this one works
Supertrend 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.