Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Chainlink backtest
10 trend-following strategies were compared on the full daily history of Chainlink. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 68.9%, MDD -59.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 52.4%, drawdown -89.3%).
Sharpe leader (same as main): Supertrend — CAGR 95.9%, MDD -60.7%, Sharpe 1.11, 48% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 43.6%p higher than buy and hold, while drawdown improves by 28.6%p (CAGR 68.9%, MDD -59.9%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=10, mult=1.7 |
95.9% | -60.7% | 1.11 | 1.58 | 198.0x | 130 | 48% |
| ROC 모멘텀 n=21, threshold=-0.04 |
94.3% | -70.0% | 1.09 | 1.35 | 185.8x | 217 | 61% |
| MACD fast=19, slow=44, signal=18 |
90.7% | -78.1% | 1.08 | 1.16 | 160.2x | 111 | 52% |
| ADX / DI 방향성 period=16, threshold=17 |
88.3% | -77.5% | 1.06 | 1.14 | 145.0x | 124 | 44% |
| EMA 크로스오버 fast=4, slow=27 |
81.0% | -66.6% | 1.02 | 1.22 | 106.2x | 138 | 52% |
| Donchian 채널 돌파 entryN=7, exitN=20 |
77.7% | -80.4% | 1.00 | 0.97 | 91.9x | 77 | 72% |
| 볼린저 밴드 돌파 n=29, k=1.1 |
77.5% | -75.7% | 1.00 | 1.02 | 91.3x | 114 | 42% |
| Parabolic SAR step=0.01, maxStep=0.14 |
68.9% | -59.9% | 0.98 | 1.15 | 61.6x | 136 | 47% |
| SMA 크로스오버 fast=8, slow=35 |
73.1% | -79.4% | 0.97 | 0.92 | 74.8x | 89 | 53% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=12, mult=1.2 |
52.3% | -78.1% | 0.83 | 0.67 | 27.4x | 114 | 37% |
| Buy and hold | 52.4% | -89.3% | 0.88 | 0.59 | 27.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 10-day volatility, 1.7× band
- Sell — Sell when price drops below the trend line (flips down)