Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Chainlink backtest
10 trend-following strategies were compared on the full daily history of Chainlink. 6 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 61.4%, MDD -70.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 45.2%, drawdown -90.2%).
Sharpe leader (same as main): MACD — CAGR 72.7%, MDD -72.2%, Sharpe 1.09, 52% exposure.
Return/drawdown alternative: Supertrend — CAGR is 27.5%p higher than buy and hold, while drawdown improves by 18.0%p (CAGR 61.4%, MDD -70.9%, exposure 48%).
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=20, slow=33, signal=17 |
72.7% | -72.2% | 1.09 | 1.01 | 61.5x | 109 | 52% |
| Supertrend period=9, mult=1.9 |
61.4% | -70.9% | 0.99 | 0.87 | 36.9x | 107 | 48% |
| 볼린저 밴드 돌파 n=35, k=1.2 |
57.6% | -80.6% | 0.96 | 0.71 | 30.8x | 91 | 40% |
| ADX / DI 방향성 period=12, threshold=18 |
52.9% | -71.4% | 0.93 | 0.74 | 24.6x | 185 | 40% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=16, mult=1.4 |
50.1% | -72.9% | 0.90 | 0.69 | 21.4x | 69 | 36% |
| ROC 모멘텀 n=31, threshold=0.1 |
47.0% | -81.5% | 0.87 | 0.58 | 18.2x | 183 | 37% |
| SMA 크로스오버 fast=33, slow=66 |
43.1% | -80.0% | 0.84 | 0.54 | 14.9x | 48 | 51% |
| Donchian 채널 돌파 entryN=103, exitN=8 |
36.0% | -47.9% | 0.82 | 0.75 | 10.2x | 28 | 16% |
| EMA 크로스오버 fast=55, slow=103 |
40.6% | -83.6% | 0.82 | 0.49 | 13.0x | 22 | 50% |
| Parabolic SAR step=0.01, maxStep=0.16 |
37.4% | -76.0% | 0.80 | 0.49 | 10.9x | 129 | 46% |
| Buy and hold | 45.2% | -90.2% | 0.88 | 0.50 | 16.6x | 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 (20/33) crosses above its 17-day signal line
- Sell — Sell when the MACD line crosses back below the signal line