Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Stellar backtest
10 trend-following strategies were compared on the full daily history of Stellar. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 48.5%, MDD -57.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.5%, drawdown -90.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 48.9%, MDD -71.0%, Sharpe 0.89, 17% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 55.4%p higher than buy and hold, while drawdown improves by 19.5%p (CAGR 48.5%, MDD -57.7%, exposure 23%).
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=6, atrPeriod=23, mult=0.8 |
48.9% | -71.0% | 0.89 | 0.69 | 25.8x | 154 | 17% |
| 볼린저 밴드 돌파 n=8, k=1.8 |
48.5% | -57.7% | 0.88 | 0.84 | 25.2x | 200 | 23% |
| MACD fast=11, slow=33, signal=6 |
32.6% | -71.3% | 0.71 | 0.46 | 10.0x | 230 | 50% |
| ADX / DI 방향성 period=8, threshold=31 |
30.5% | -68.0% | 0.69 | 0.45 | 8.8x | 142 | 24% |
| ROC 모멘텀 n=10, threshold=0.12 |
29.8% | -59.7% | 0.68 | 0.50 | 8.4x | 204 | 16% |
| Parabolic SAR step=0.025, maxStep=0.14 |
27.2% | -86.7% | 0.66 | 0.31 | 7.1x | 240 | 43% |
| Supertrend period=8, mult=1.9 |
19.8% | -74.8% | 0.58 | 0.26 | 4.4x | 124 | 40% |
| SMA 크로스오버 fast=3, slow=31 |
19.1% | -77.3% | 0.57 | 0.25 | 4.2x | 150 | 42% |
| EMA 크로스오버 fast=13, slow=137 |
15.1% | -71.7% | 0.53 | 0.21 | 3.2x | 34 | 34% |
| Donchian 채널 돌파 entryN=12, exitN=38 |
6.7% | -91.0% | 0.49 | 0.07 | 1.7x | 53 | 71% |
| Buy and hold | -6.5% | -90.5% | 0.42 | -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 6-day average + 0.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 6-day average