Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
The Sandbox backtest
10 trend-following strategies were compared on the full daily history of The Sandbox. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 104.6%, MDD -60.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.5%, drawdown -99.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 120.6%, MDD -70.7%, Sharpe 1.23, 20% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 127.1%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 104.6%, MDD -60.1%, exposure 19%).
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=44, atrPeriod=20, mult=1.7 |
120.6% | -70.7% | 1.23 | 1.71 | 127.3x | 29 | 20% |
| Donchian 채널 돌파 entryN=44, exitN=8 |
104.6% | -60.1% | 1.22 | 1.74 | 80.3x | 24 | 19% |
| 볼린저 밴드 돌파 n=43, k=2.5 |
100.9% | -70.5% | 1.19 | 1.43 | 71.8x | 22 | 21% |
| ROC 모멘텀 n=35, threshold=0.03 |
110.7% | -70.4% | 1.17 | 1.57 | 96.2x | 109 | 32% |
| Supertrend period=28, mult=3.8 |
106.7% | -77.2% | 1.15 | 1.38 | 85.4x | 23 | 27% |
| SMA 크로스오버 fast=66, slow=99 |
99.7% | -70.2% | 1.11 | 1.42 | 69.3x | 18 | 34% |
| ADX / DI 방향성 period=26, threshold=11 |
93.5% | -82.1% | 1.08 | 1.14 | 57.0x | 75 | 34% |
| MACD fast=19, slow=68, signal=14 |
87.8% | -85.2% | 1.05 | 1.03 | 47.6x | 79 | 52% |
| EMA 크로스오버 fast=20, slow=169 |
74.7% | -70.2% | 1.02 | 1.06 | 30.5x | 8 | 26% |
| Parabolic SAR step=0.025, maxStep=0.34 |
44.4% | -90.4% | 0.79 | 0.49 | 9.5x | 198 | 44% |
| Buy and hold | -6.5% | -99.6% | 0.57 | -0.07 | 0.7x | 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 44-day average + 1.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 44-day average