Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
The Sandbox backtest
10 trend-following strategies were compared on the full daily history of The Sandbox. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 123.4%, MDD -45.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.6%, drawdown -99.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 130.4%, MDD -54.8%, Sharpe 1.40, 20% exposure.
CAGR reference leader: Supertrend — CAGR 149.3%, MDD -65.8%, exposure 24%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 126.8%p higher than buy and hold, while drawdown improves by 44.6%p (CAGR 123.4%, MDD -45.1%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=23, mult=2.1 |
130.4% | -54.8% | 1.40 | 2.38 | 118.2x | 20 | 20% |
| 볼린저 밴드 돌파 n=46, k=3.1 |
123.4% | -45.1% | 1.39 | 2.74 | 98.9x | 12 | 18% |
| ROC 모멘텀 n=33, threshold=0.13 |
118.7% | -62.1% | 1.33 | 1.91 | 87.7x | 70 | 25% |
| Donchian 채널 돌파 entryN=50, exitN=15 |
109.0% | -59.2% | 1.28 | 1.84 | 67.7x | 14 | 26% |
| Supertrend period=34, mult=4.1 |
149.3% | -65.8% | 1.28 | 2.27 | 185.2x | 20 | 24% |
| SMA 크로스오버 fast=24, slow=82 |
107.5% | -74.6% | 1.25 | 1.44 | 64.9x | 18 | 34% |
| ADX / DI 방향성 period=30, threshold=14 |
140.1% | -59.7% | 1.24 | 2.35 | 149.5x | 46 | 32% |
| EMA 크로스오버 fast=8, slow=80 |
96.4% | -68.0% | 1.18 | 1.42 | 47.3x | 26 | 30% |
| MACD fast=16, slow=68, signal=15 |
95.9% | -81.5% | 1.16 | 1.18 | 46.8x | 76 | 50% |
| Parabolic SAR step=0.07, maxStep=0.12 |
66.9% | -81.4% | 0.89 | 0.82 | 18.7x | 238 | 42% |
| Buy and hold | 3.6% | -99.3% | 0.59 | 0.04 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 40-day average + 2.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 40-day average