Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
XRP backtest
10 trend-following strategies were compared on the full daily history of XRP. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 35.4%, MDD -43.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.1%, drawdown -85.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 55.7%, MDD -46.4%, Sharpe 1.04, 18% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 53.6%p higher than buy and hold, while drawdown improves by 38.6%p (CAGR 35.4%, MDD -43.3%, exposure 11%).
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=14, k=2.4 |
55.7% | -46.4% | 1.04 | 1.20 | 38.5x | 86 | 18% |
| MACD fast=7, slow=54, signal=17 |
50.8% | -60.8% | 0.90 | 0.84 | 29.5x | 151 | 49% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=15, mult=1.5 |
35.4% | -43.3% | 0.85 | 0.82 | 12.1x | 62 | 11% |
| ADX / DI 방향성 period=10, threshold=35 |
35.0% | -53.3% | 0.82 | 0.66 | 11.8x | 68 | 16% |
| EMA 크로스오버 fast=57, slow=297 |
27.3% | -71.2% | 0.67 | 0.38 | 7.3x | 8 | 45% |
| ROC 모멘텀 n=10, threshold=0.12 |
22.9% | -67.6% | 0.63 | 0.34 | 5.5x | 206 | 14% |
| Donchian 채널 돌파 entryN=48, exitN=46 |
17.7% | -71.9% | 0.59 | 0.25 | 3.8x | 24 | 55% |
| Supertrend period=21, mult=3.3 |
15.6% | -79.7% | 0.53 | 0.20 | 3.3x | 54 | 41% |
| Parabolic SAR step=0.055, maxStep=0.08 |
13.3% | -76.8% | 0.51 | 0.17 | 2.8x | 236 | 46% |
| SMA 크로스오버 fast=14, slow=46 |
11.5% | -74.0% | 0.49 | 0.16 | 2.4x | 76 | 43% |
| Buy and hold | 2.1% | -85.0% | 0.50 | 0.02 | 1.2x | 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 14-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 14-day middle average