Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Stacks backtest
10 trend-following strategies were compared on the full daily history of Stacks. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 69.7%, MDD -57.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.9%, drawdown -96.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 69.7%, MDD -57.2%, Sharpe 0.96, 26% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 83.6%p higher than buy and hold, while drawdown improves by 39.1%p (CAGR 69.7%, MDD -57.2%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=61, k=2.4 |
69.7% | -57.2% | 0.96 | 1.22 | 35.8x | 20 | 26% |
| SMA 크로스오버 fast=34, slow=140 |
63.6% | -72.9% | 0.92 | 0.87 | 27.9x | 18 | 38% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=27, mult=1.4 |
63.1% | -70.6% | 0.92 | 0.89 | 27.3x | 42 | 32% |
| Donchian 채널 돌파 entryN=105, exitN=34 |
63.0% | -66.6% | 0.91 | 0.95 | 27.3x | 10 | 29% |
| EMA 크로스오버 fast=16, slow=130 |
58.1% | -66.2% | 0.89 | 0.88 | 22.1x | 16 | 36% |
| ROC 모멘텀 n=141, threshold=0 |
53.1% | -80.3% | 0.86 | 0.66 | 17.8x | 58 | 44% |
| Supertrend period=21, mult=4.1 |
50.6% | -83.5% | 0.83 | 0.61 | 15.9x | 26 | 44% |
| ADX / DI 방향성 period=34, threshold=16 |
39.9% | -73.4% | 0.77 | 0.54 | 9.7x | 42 | 38% |
| MACD fast=19, slow=46, signal=9 |
16.4% | -90.2% | 0.60 | 0.18 | 2.8x | 122 | 54% |
| Parabolic SAR step=0.05, maxStep=0.18 |
2.0% | -86.2% | 0.46 | 0.02 | 1.1x | 330 | 46% |
| Buy and hold | -13.9% | -96.3% | 0.49 | -0.14 | 0.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 61-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 61-day middle average