Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Dogecoin backtest
10 trend-following strategies were compared on the full daily history of Dogecoin. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 118.7%, MDD -63.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 50.4%, drawdown -92.3%).
Sharpe leader (same as main): MACD — CAGR 118.7%, MDD -63.6%, Sharpe 1.21, 51% exposure.
Return/drawdown alternative: MACD — CAGR is 68.4%p higher than buy and hold, while drawdown improves by 28.7%p (CAGR 118.7%, MDD -63.6%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=15, slow=37, signal=21 |
118.7% | -63.6% | 1.21 | 1.87 | 253.4x | 85 | 51% |
| 볼린저 밴드 돌파 n=25, k=1.2 |
82.2% | -66.5% | 1.04 | 1.24 | 69.7x | 90 | 33% |
| SMA 크로스오버 fast=7, slow=18 |
81.2% | -64.7% | 1.03 | 1.25 | 66.9x | 142 | 43% |
| Donchian 채널 돌파 entryN=20, exitN=7 |
72.6% | -63.8% | 0.98 | 1.14 | 47.6x | 58 | 29% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=10, mult=1.1 |
66.5% | -71.8% | 0.94 | 0.93 | 36.8x | 98 | 24% |
| Supertrend period=24, mult=1.8 |
65.6% | -70.9% | 0.94 | 0.93 | 35.5x | 102 | 38% |
| Parabolic SAR step=0.015, maxStep=0.08 |
65.5% | -78.1% | 0.93 | 0.84 | 35.2x | 123 | 42% |
| ROC 모멘텀 n=15, threshold=0 |
64.0% | -78.1% | 0.93 | 0.82 | 33.1x | 270 | 45% |
| EMA 크로스오버 fast=7, slow=17 |
57.9% | -79.1% | 0.89 | 0.73 | 25.3x | 114 | 43% |
| ADX / DI 방향성 period=11, threshold=35 |
57.3% | -77.9% | 0.88 | 0.74 | 24.6x | 66 | 19% |
| Buy and hold | 50.4% | -92.3% | 0.73 | 0.55 | 17.9x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (15/37) crosses above its 21-day signal line
- Sell — Sell when the MACD line crosses back below the signal line