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) — 7-day volatility, 2.2× 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=7, mult=2.2 |
72.2% | 43.5% | -42.9% | -86.8% | 1.49 | 105 | 49% |
| Ethereum period=8, mult=2.4 |
101.3% | 30.6% | -48.5% | -95.6% | 1.57 | 93 | 48% |
| XRP (Ripple) period=8, mult=2.3 |
81.8% | 28.5% | -68.4% | -95.9% | 1.10 | 96 | 45% |
| Samsung Electronics period=40, mult=4.7 |
10.5% | 15.1% | -57.3% | -64.8% | 0.52 | 96 | 52% |
| Apple (AAPL) period=21, mult=3.3 |
18.2% | 18.8% | -56.6% | -82.2% | 0.72 | 295 | 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.