Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Cardano backtest
10 trend-following strategies were compared on the full daily history of Cardano. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 61.0%, MDD -27.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.4%, drawdown -95.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 64.4%, MDD -34.3%, Sharpe 1.31, 14% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 67.0%, MDD -56.6%, exposure 38%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 68.7%p higher than buy and hold, while drawdown improves by 60.8%p (CAGR 61.0%, MDD -27.6%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=36, k=3.2 |
64.4% | -34.3% | 1.31 | 1.88 | 61.4x | 18 | 14% |
| Donchian 채널 돌파 entryN=57, exitN=5 |
65.2% | -37.9% | 1.26 | 1.72 | 64.1x | 34 | 14% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=11, mult=3.4 |
61.0% | -27.6% | 1.25 | 2.21 | 51.7x | 16 | 13% |
| EMA 크로스오버 fast=16, slow=36 |
67.0% | -56.6% | 1.10 | 1.18 | 70.2x | 52 | 38% |
| SMA 크로스오버 fast=6, slow=81 |
63.1% | -57.9% | 1.06 | 1.09 | 57.7x | 48 | 38% |
| ROC 모멘텀 n=90, threshold=0.16 |
51.8% | -55.4% | 0.97 | 0.94 | 31.9x | 72 | 30% |
| ADX / DI 방향성 period=37, threshold=11 |
43.2% | -68.9% | 0.88 | 0.63 | 19.6x | 84 | 31% |
| MACD fast=24, slow=56, signal=19 |
41.1% | -74.1% | 0.83 | 0.55 | 17.3x | 95 | 53% |
| Supertrend period=9, mult=1.8 |
39.4% | -85.3% | 0.82 | 0.46 | 15.6x | 124 | 44% |
| Parabolic SAR step=0.01, maxStep=0.34 |
31.0% | -81.9% | 0.73 | 0.38 | 9.4x | 132 | 43% |
| Buy and hold | -4.4% | -95.2% | 0.45 | -0.05 | 0.7x | 1 | 100% |
Rules of the top strategy
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 36-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 36-day middle average