Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Dogecoin backtest
10 trend-following strategies were compared on the full daily history of Dogecoin. 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 29.5%, MDD -40.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -30.5%, drawdown -89.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 40.3%, MDD -52.4%, Sharpe 0.90, 23% exposure.
CAGR reference leader: MACD — CAGR 46.5%, MDD -70.0%, exposure 51%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 70.8%p higher than buy and hold, while drawdown improves by 37.1%p (CAGR 29.5%, MDD -40.4%, 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=34, k=2.1 |
40.3% | -52.4% | 0.90 | 0.77 | 5.9x | 32 | 23% |
| MACD fast=21, slow=49, signal=20 |
46.5% | -70.0% | 0.90 | 0.67 | 7.3x | 55 | 51% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=26, mult=4 |
29.5% | -40.4% | 0.82 | 0.73 | 3.9x | 12 | 11% |
| SMA 크로스오버 fast=12, slow=32 |
31.3% | -58.1% | 0.74 | 0.54 | 4.1x | 56 | 40% |
| ROC 모멘텀 n=21, threshold=0.01 |
30.3% | -58.1% | 0.73 | 0.52 | 4.0x | 124 | 39% |
| Donchian 채널 돌파 entryN=28, exitN=18 |
26.9% | -58.6% | 0.69 | 0.46 | 3.5x | 28 | 33% |
| ADX / DI 방향성 period=13, threshold=10 |
26.3% | -61.0% | 0.67 | 0.43 | 3.4x | 114 | 47% |
| Supertrend period=16, mult=1.6 |
25.2% | -65.1% | 0.66 | 0.39 | 3.2x | 82 | 41% |
| EMA 크로스오버 fast=14, slow=22 |
20.0% | -57.7% | 0.59 | 0.35 | 2.6x | 52 | 39% |
| Parabolic SAR step=0.05, maxStep=0.16 |
13.9% | -71.0% | 0.50 | 0.20 | 2.0x | 210 | 44% |
| Buy and hold | -30.5% | -89.5% | 0.00 | -0.34 | 0.2x | 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 34-day average (2.1× volatility)
- Sell — Sell when the close falls back to the 34-day middle average