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 ROC 모멘텀 (CAGR 111.2%, MDD -58.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.1%, drawdown -99.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 141.2%, MDD -60.0%, Sharpe 1.32, 20% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 148.3%p higher than buy and hold, while drawdown improves by 39.4%p (CAGR 111.2%, MDD -58.2%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=21, mult=1.7 |
141.2% | -60.0% | 1.32 | 2.35 | 190.2x | 26 | 20% |
| 볼린저 밴드 돌파 n=29, k=2.6 |
124.5% | -59.4% | 1.25 | 2.10 | 124.0x | 28 | 18% |
| Donchian 채널 돌파 entryN=43, exitN=8 |
108.7% | -60.1% | 1.23 | 1.81 | 80.3x | 24 | 20% |
| Supertrend period=28, mult=3.8 |
120.9% | -67.3% | 1.22 | 1.80 | 112.7x | 20 | 26% |
| ROC 모멘텀 n=20, threshold=0.22 |
111.2% | -58.2% | 1.19 | 1.91 | 86.1x | 88 | 16% |
| SMA 크로스오버 fast=72, slow=95 |
102.9% | -70.2% | 1.13 | 1.47 | 67.9x | 18 | 35% |
| ADX / DI 방향성 period=26, threshold=11 |
103.5% | -76.5% | 1.12 | 1.35 | 69.0x | 70 | 34% |
| MACD fast=16, slow=59, signal=19 |
95.7% | -82.5% | 1.09 | 1.16 | 54.7x | 71 | 50% |
| EMA 크로스오버 fast=18, slow=74 |
78.7% | -74.5% | 1.00 | 1.06 | 31.8x | 28 | 31% |
| Parabolic SAR step=0.025, maxStep=0.36 |
46.9% | -88.9% | 0.81 | 0.53 | 9.9x | 190 | 44% |
| Buy and hold | -7.1% | -99.5% | 0.57 | -0.07 | 0.6x | 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 41-day average + 1.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 41-day average