Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Polkadot backtest
10 trend-following strategies were compared on the full daily history of Polkadot. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 77.8%, MDD -32.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -21.0%, drawdown -98.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 77.8%, MDD -32.7%, Sharpe 1.48, 15% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 98.8%p higher than buy and hold, while drawdown improves by 65.6%p (CAGR 77.8%, MDD -32.7%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=20, threshold=29 |
77.8% | -32.7% | 1.48 | 2.38 | 28.4x | 18 | 15% |
| 볼린저 밴드 돌파 n=52, k=2.7 |
65.5% | -40.8% | 1.25 | 1.60 | 18.7x | 12 | 18% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=29, mult=3 |
65.1% | -35.2% | 1.25 | 1.85 | 18.4x | 12 | 19% |
| ROC 모멘텀 n=40, threshold=0.03 |
65.7% | -63.0% | 1.16 | 1.04 | 18.9x | 92 | 34% |
| Donchian 채널 돌파 entryN=53, exitN=9 |
56.0% | -56.9% | 1.14 | 0.98 | 13.3x | 22 | 18% |
| Supertrend period=14, mult=2.8 |
64.4% | -72.1% | 1.12 | 0.89 | 18.0x | 42 | 38% |
| SMA 크로스오버 fast=10, slow=42 |
44.1% | -67.9% | 0.90 | 0.65 | 8.4x | 52 | 38% |
| EMA 크로스오버 fast=30, slow=76 |
43.1% | -62.4% | 0.90 | 0.69 | 8.0x | 12 | 30% |
| MACD fast=21, slow=59, signal=17 |
27.6% | -74.7% | 0.69 | 0.37 | 4.1x | 71 | 51% |
| Parabolic SAR step=0.005, maxStep=0.18 |
14.5% | -75.6% | 0.48 | 0.19 | 2.2x | 58 | 36% |
| Buy and hold | -21.0% | -98.3% | 0.29 | -0.21 | 0.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 20-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)