Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Cardano backtest
10 trend-following strategies were compared on the full daily history of Cardano. 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 95.5%, MDD -35.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.2%, drawdown -93.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 89.1%, MDD -37.1%, Sharpe 1.53, 19% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 95.5%, MDD -35.7%, exposure 23%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 84.9%p higher than buy and hold, while drawdown improves by 56.6%p (CAGR 95.5%, MDD -35.7%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=31, k=3 |
89.1% | -37.1% | 1.53 | 2.40 | 177.6x | 24 | 19% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=16, mult=2.3 |
95.5% | -35.7% | 1.48 | 2.67 | 232.7x | 36 | 23% |
| Donchian 채널 돌파 entryN=33, exitN=4 |
80.3% | -48.4% | 1.41 | 1.66 | 120.5x | 52 | 18% |
| SMA 크로스오버 fast=7, slow=58 |
85.5% | -51.5% | 1.28 | 1.66 | 151.9x | 60 | 38% |
| EMA 크로스오버 fast=10, slow=66 |
83.1% | -53.1% | 1.26 | 1.57 | 137.1x | 38 | 36% |
| ROC 모멘텀 n=49, threshold=0.09 |
74.6% | -66.6% | 1.21 | 1.12 | 93.0x | 102 | 31% |
| MACD fast=24, slow=53, signal=2 |
73.6% | -79.9% | 1.12 | 0.92 | 88.6x | 217 | 51% |
| Parabolic SAR step=0.01, maxStep=0.12 |
57.7% | -76.5% | 1.03 | 0.75 | 40.5x | 124 | 42% |
| Supertrend period=13, mult=1.9 |
52.1% | -83.0% | 0.96 | 0.63 | 30.3x | 108 | 42% |
| ADX / DI 방향성 period=33, threshold=21 |
40.0% | -43.3% | 0.91 | 0.92 | 15.5x | 38 | 21% |
| Buy and hold | 4.2% | -93.7% | 0.49 | 0.04 | 1.4x | 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 31-day average (3× volatility)
- Sell — Sell when the close falls back to the 31-day middle average