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 38-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 38-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=38, atrPeriod=25, mult=2.3 |
72.7% | 43.5% | -37.5% | -86.8% | 1.63 | 47 | 35% |
| Ethereum emaPeriod=55, atrPeriod=17, mult=2 |
83.4% | 30.6% | -57.6% | -95.6% | 1.44 | 45 | 40% |
| XRP (Ripple) emaPeriod=10, atrPeriod=29, mult=1.3 |
90.5% | 28.5% | -43.4% | -95.9% | 1.24 | 88 | 16% |
| Samsung Electronics emaPeriod=151, atrPeriod=47, mult=3.7 |
9.5% | 15.1% | -42.5% | -64.8% | 0.52 | 50 | 42% |
| Apple (AAPL) emaPeriod=110, atrPeriod=28, mult=3.5 |
16.2% | 18.8% | -60.0% | -82.2% | 0.71 | 113 | 47% |
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.