Trend-Following Backtester · Guide · Assets 한국어
Assets
Ethereum backtest
The reserve asset of smart-contract platforms. It tracks Bitcoin closely but tends to fall further in drawdowns.
Results by strategy
10 of 10 beat buy and hold (CAGR 30.6%, drawdown -95.6%). Sorted by CAGR.
| Strategy · parameters | CAGR | Max drawdown | Sharpe | Calmar | Total return | Trades | Time in market |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.22 |
104.9% | -39.7% | 1.64 | 2.64 | 629.5x | 155 | 47% |
| Supertrend period=8, mult=2.4 |
101.3% | -48.5% | 1.57 | 2.09 | 535.6x | 93 | 48% |
| Bollinger band breakout n=38, k=1.1 |
94.2% | -49.7% | 1.53 | 1.90 | 388.2x | 77 | 43% |
| EMA crossover fast=3, slow=27 |
90.4% | -49.9% | 1.44 | 1.81 | 325.9x | 143 | 50% |
| SMA crossover fast=6, slow=31 |
90.0% | -45.5% | 1.43 | 1.98 | 318.6x | 113 | 50% |
| MACD fast=18, slow=59, signal=11 |
87.2% | -52.9% | 1.41 | 1.65 | 278.9x | 142 | 50% |
| ADX / DI directional period=16, threshold=7 |
84.0% | -43.1% | 1.42 | 1.95 | 239.5x | 171 | 47% |
| Keltner channel breakout emaPeriod=55, atrPeriod=17, mult=2 |
83.4% | -57.6% | 1.44 | 1.45 | 232.4x | 45 | 40% |
| ROC momentum n=18, threshold=0.05 |
73.9% | -48.1% | 1.33 | 1.54 | 144.4x | 251 | 37% |
| Donchian channel breakout entryN=16, exitN=7 |
73.1% | -54.7% | 1.30 | 1.34 | 138.3x | 100 | 42% |
| Buy & hold | 30.6% | -95.6% | 0.74 | 0.32 | 11.0x | 1 | 100% |
The rules, strategy by strategy
Parabolic SAR
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy Buy when price rises above the SAR dots
- Sell Sell when price falls below the SAR dots
- CAGR
- 104.9%
- Max drawdown
- -39.7%
- Sharpe
- 1.64
- Trades
- 155
- Time in market
- 47%
- Win rate
- 50%
Supertrend
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy Buy when price moves above the trend line (flips up) — 8-day volatility, 2.4× band
- Sell Sell when price drops below the trend line (flips down)
- CAGR
- 101.3%
- Max drawdown
- -48.5%
- Sharpe
- 1.57
- Trades
- 93
- Time in market
- 48%
- Win rate
- 51%
Bollinger band breakout
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy Buy when the close breaks above the upper band of the 38-day average (1.1× volatility)
- Sell Sell when the close falls back to the 38-day middle average
- CAGR
- 94.2%
- Max drawdown
- -49.7%
- Sharpe
- 1.53
- Trades
- 77
- Time in market
- 43%
- Win rate
- 52%
EMA crossover
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy Buy when the 3-day EMA crosses above the 27-day EMA
- Sell Sell when the 3-day EMA falls below the 27-day EMA
- CAGR
- 90.4%
- Max drawdown
- -49.9%
- Sharpe
- 1.44
- Trades
- 143
- Time in market
- 50%
- Win rate
- 51%
SMA crossover
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy Buy when the 6-day average price crosses above the 31-day average
- Sell Sell (to cash) when the 6-day average falls below the 31-day average
- CAGR
- 90.0%
- Max drawdown
- -45.5%
- Sharpe
- 1.43
- Trades
- 113
- Time in market
- 50%
- Win rate
- 51%
MACD
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy Buy when the MACD line (18/59) crosses above its 11-day signal line
- Sell Sell when the MACD line crosses back below the signal line
- CAGR
- 87.2%
- Max drawdown
- -52.9%
- Sharpe
- 1.41
- Trades
- 142
- Time in market
- 50%
- Win rate
- 50%
ADX / DI directional
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 16-day) is ≥ 7
- Sell Sell when direction flips or the trend weakens (ADX < 7)
- CAGR
- 84.0%
- Max drawdown
- -43.1%
- Sharpe
- 1.42
- Trades
- 171
- Time in market
- 47%
- Win rate
- 50%
Keltner channel breakout
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy Buy when the close breaks above the 55-day average + 2× volatility (Keltner top)
- Sell Sell when the close falls back to the 55-day average
- CAGR
- 83.4%
- Max drawdown
- -57.6%
- Sharpe
- 1.44
- Trades
- 45
- Time in market
- 40%
- Win rate
- 53%
ROC momentum
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy Buy when the last 18-day return is greater than 5%
- Sell Sell when the 18-day return drops to 5% or below
- CAGR
- 73.9%
- Max drawdown
- -48.1%
- Sharpe
- 1.33
- Trades
- 251
- Time in market
- 37%
- Win rate
- 47%
Donchian channel breakout
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 16 days
- Sell Sell when price breaks below the lowest low of the last 7 days
- CAGR
- 73.1%
- Max drawdown
- -54.7%
- Sharpe
- 1.30
- Trades
- 100
- Time in market
- 42%
- Win rate
- 50%