Trend-Following Backtester · Guide · backtest 한국어
etf · BR
Hashdex Nasdaq Crypto Index Fundo de Indice backtest
10 trend-following strategies were compared on the full daily history of Hashdex Nasdaq Crypto Index Fundo de Indice. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 22.8%, MDD -12.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.7%, drawdown -78.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 22.8%, MDD -12.9%, Sharpe 1.14, 15% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 26.7%, MDD -34.1%, exposure 47%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 27.5%p higher than buy and hold, while drawdown improves by 65.2%p (CAGR 22.8%, MDD -12.9%, exposure 15%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=26, mult=2.5 |
22.8% | -12.9% | 1.14 | 1.77 | 2.9x | 16 | 15% |
| 볼린저 밴드 돌파 n=33, k=2.5 |
25.6% | -15.4% | 1.11 | 1.66 | 3.3x | 14 | 21% |
| ROC 모멘텀 n=11, threshold=0.13 |
19.9% | -21.2% | 1.03 | 0.94 | 2.6x | 64 | 13% |
| SMA 크로스오버 fast=19, slow=236 |
26.1% | -37.8% | 0.88 | 0.69 | 3.4x | 2 | 51% |
| EMA 크로스오버 fast=8, slow=67 |
26.7% | -34.1% | 0.88 | 0.78 | 3.5x | 18 | 47% |
| MACD fast=16, slow=31, signal=18 |
25.6% | -53.6% | 0.81 | 0.48 | 3.3x | 41 | 49% |
| ADX / DI 방향성 period=30, threshold=12 |
20.0% | -28.7% | 0.79 | 0.70 | 2.6x | 48 | 34% |
| Donchian 채널 돌파 entryN=43, exitN=51 |
22.6% | -34.6% | 0.76 | 0.65 | 2.9x | 14 | 48% |
| Supertrend period=25, mult=3.8 |
12.2% | -40.3% | 0.51 | 0.30 | 1.8x | 26 | 43% |
| Parabolic SAR step=0.025, maxStep=0.24 |
4.6% | -53.0% | 0.30 | 0.09 | 1.3x | 126 | 50% |
| Buy and hold | -4.7% | -78.1% | 0.18 | -0.06 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 13-day average + 2.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average