Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Stacks backtest
10 trend-following strategies were compared on the full daily history of Stacks. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 47.1%, MDD -21.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -37.2%, drawdown -96.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 58.8%, MDD -33.8%, Sharpe 1.18, 14% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 96.0%p higher than buy and hold, while drawdown improves by 62.6%p (CAGR 47.1%, MDD -21.6%, exposure 8%).
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=33, threshold=24 |
58.8% | -33.8% | 1.18 | 1.74 | 4.4x | 8 | 14% |
| 볼린저 밴드 돌파 n=15, k=3 |
47.1% | -21.6% | 1.16 | 2.18 | 3.4x | 8 | 8% |
| Donchian 채널 돌파 entryN=104, exitN=20 |
51.9% | -36.7% | 1.02 | 1.41 | 3.8x | 4 | 18% |
| EMA 크로스오버 fast=42, slow=69 |
48.2% | -53.5% | 0.94 | 0.90 | 3.5x | 6 | 25% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=24, mult=1.8 |
46.0% | -29.1% | 0.94 | 1.58 | 3.3x | 20 | 23% |
| SMA 크로스오버 fast=23, slow=147 |
41.8% | -53.2% | 0.87 | 0.79 | 3.0x | 6 | 27% |
| ROC 모멘텀 n=93, threshold=0.12 |
40.7% | -54.8% | 0.86 | 0.74 | 3.0x | 18 | 22% |
| Supertrend period=23, mult=2.5 |
41.3% | -55.0% | 0.85 | 0.75 | 3.0x | 28 | 33% |
| MACD fast=36, slow=70, signal=4 |
15.6% | -71.6% | 0.55 | 0.22 | 1.6x | 54 | 48% |
| Parabolic SAR step=0.025, maxStep=0.26 |
-25.4% | -79.9% | -0.14 | -0.32 | 0.4x | 116 | 44% |
| Buy and hold | -37.2% | -96.4% | -0.04 | -0.39 | 0.2x | 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, 33-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)