Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
TRON backtest
10 trend-following strategies were compared on the full daily history of TRON. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 34.5%, MDD -47.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 34.1%, drawdown -88.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 57.5%, MDD -58.9%, Sharpe 1.02, 82% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 23.5%p higher than buy and hold, while drawdown improves by 29.2%p (CAGR 34.5%, MDD -47.3%, exposure 32%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=27, threshold=-0.12 |
57.5% | -58.9% | 1.02 | 0.98 | 43.8x | 103 | 82% |
| Donchian 채널 돌파 entryN=10, exitN=21 |
56.1% | -56.6% | 1.01 | 0.99 | 40.6x | 58 | 64% |
| MACD fast=26, slow=35, signal=24 |
50.0% | -54.8% | 0.98 | 0.91 | 29.2x | 92 | 52% |
| 볼린저 밴드 돌파 n=32, k=1.5 |
44.3% | -58.7% | 0.94 | 0.75 | 21.1x | 82 | 39% |
| Supertrend period=10, mult=4.7 |
48.7% | -56.5% | 0.94 | 0.86 | 27.1x | 26 | 59% |
| Parabolic SAR step=0.035, maxStep=0.04 |
41.6% | -49.8% | 0.93 | 0.84 | 18.1x | 136 | 51% |
| EMA 크로스오버 fast=12, slow=15 |
43.7% | -51.3% | 0.90 | 0.85 | 20.4x | 110 | 55% |
| SMA 크로스오버 fast=13, slow=36 |
40.7% | -59.4% | 0.87 | 0.68 | 17.1x | 76 | 54% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=13, mult=2.1 |
34.5% | -47.3% | 0.83 | 0.73 | 11.7x | 54 | 32% |
| ADX / DI 방향성 period=34, threshold=14 |
22.5% | -63.3% | 0.63 | 0.35 | 5.4x | 71 | 48% |
| Buy and hold | 34.1% | -88.1% | 0.76 | 0.39 | 11.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 27-day return is greater than -12%
- Sell — Sell when the 27-day return drops to -12% or below