Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Cosmos backtest
10 trend-following strategies were compared on the full daily history of Cosmos. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 10.9%, MDD -48.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.4%, drawdown -97.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 38.0%, MDD -61.7%, Sharpe 0.80, 44% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 52.4%p higher than buy and hold, while drawdown improves by 35.5%p (CAGR 10.9%, MDD -48.3%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=50, slow=77 |
38.0% | -61.7% | 0.80 | 0.62 | 10.3x | 36 | 44% |
| 볼린저 밴드 돌파 n=57, k=3.2 |
22.7% | -60.9% | 0.63 | 0.37 | 4.4x | 18 | 16% |
| MACD fast=17, slow=50, signal=27 |
20.3% | -86.0% | 0.61 | 0.24 | 3.8x | 94 | 50% |
| Supertrend period=3, mult=5 |
17.2% | -71.5% | 0.61 | 0.24 | 3.2x | 26 | 57% |
| Donchian 채널 돌파 entryN=70, exitN=64 |
16.7% | -74.6% | 0.58 | 0.22 | 3.1x | 16 | 40% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=23, mult=4 |
18.0% | -58.6% | 0.57 | 0.31 | 3.3x | 12 | 10% |
| EMA 크로스오버 fast=11, slow=61 |
15.2% | -71.8% | 0.56 | 0.21 | 2.8x | 50 | 38% |
| ROC 모멘텀 n=61, threshold=0.12 |
15.8% | -81.8% | 0.55 | 0.19 | 2.9x | 114 | 33% |
| ADX / DI 방향성 period=33, threshold=16 |
10.9% | -48.3% | 0.45 | 0.23 | 2.1x | 38 | 16% |
| Parabolic SAR step=0.05, maxStep=0.06 |
3.9% | -92.7% | 0.41 | 0.04 | 1.3x | 184 | 45% |
| Buy and hold | -14.4% | -97.2% | 0.39 | -0.15 | 0.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 50-day average price crosses above the 77-day average
- Sell — Sell (to cash) when the 50-day average falls below the 77-day average