Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
XRP backtest
10 trend-following strategies were compared on the full daily history of XRP. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 115.0%, MDD -37.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 18.2%, drawdown -96.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 115.0%, MDD -37.9%, Sharpe 1.31, 25% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 96.8%p higher than buy and hold, while drawdown improves by 58.0%p (CAGR 115.0%, MDD -37.9%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=10, k=2 |
115.0% | -37.9% | 1.31 | 3.03 | 1118.8x | 172 | 25% |
| MACD fast=10, slow=71, signal=8 |
106.7% | -63.9% | 1.22 | 1.67 | 777.8x | 198 | 49% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=8, mult=1.5 |
91.9% | -48.4% | 1.21 | 1.90 | 393.4x | 84 | 12% |
| Donchian 채널 돌파 entryN=60, exitN=3 |
65.1% | -55.4% | 1.14 | 1.17 | 99.3x | 40 | 8% |
| ROC 모멘텀 n=6, threshold=0.09 |
77.9% | -62.8% | 1.09 | 1.24 | 196.4x | 268 | 15% |
| ADX / DI 방향성 period=8, threshold=26 |
76.7% | -59.2% | 1.05 | 1.29 | 184.8x | 216 | 35% |
| Supertrend period=8, mult=2.8 |
71.5% | -56.3% | 1.01 | 1.27 | 140.4x | 74 | 42% |
| EMA 크로스오버 fast=5, slow=21 |
69.0% | -55.4% | 0.99 | 1.25 | 123.1x | 158 | 41% |
| SMA 크로스오버 fast=1, slow=12 |
69.0% | -71.5% | 0.98 | 0.96 | 122.9x | 466 | 44% |
| Parabolic SAR step=0.02, maxStep=0.12 |
44.8% | -76.7% | 0.81 | 0.58 | 29.8x | 216 | 44% |
| Buy and hold | 18.2% | -96.0% | 0.66 | 0.19 | 4.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 10-day average (2× volatility)
- Sell — Sell when the close falls back to the 10-day middle average