Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
CRV backtest
10 trend-following strategies were compared on the full daily history of CRV. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 36.4%, MDD -28.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -35.8%, drawdown -97.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 36.4%, MDD -28.2%, Sharpe 1.05, 5% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 39.8%, MDD -44.1%, exposure 18%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 72.2%p higher than buy and hold, while drawdown improves by 69.0%p (CAGR 36.4%, MDD -28.2%, exposure 5%).
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=17, atrPeriod=8, mult=2.5 |
36.4% | -28.2% | 1.05 | 1.29 | 4.5x | 7 | 5% |
| 볼린저 밴드 돌파 n=19, k=2.3 |
39.8% | -44.1% | 0.86 | 0.90 | 5.1x | 43 | 18% |
| ADX / DI 방향성 period=10, threshold=32 |
31.5% | -56.8% | 0.78 | 0.55 | 3.8x | 49 | 15% |
| SMA 크로스오버 fast=10, slow=37 |
20.0% | -66.2% | 0.61 | 0.30 | 2.4x | 47 | 36% |
| Donchian 채널 돌파 entryN=134, exitN=8 |
14.0% | -38.8% | 0.56 | 0.36 | 1.9x | 7 | 4% |
| Parabolic SAR step=0.015, maxStep=0.32 |
7.5% | -83.6% | 0.47 | 0.09 | 1.4x | 113 | 44% |
| Supertrend period=26, mult=2.9 |
5.6% | -81.0% | 0.41 | 0.07 | 1.3x | 35 | 28% |
| EMA 크로스오버 fast=6, slow=66 |
5.9% | -72.6% | 0.40 | 0.08 | 1.3x | 39 | 28% |
| ROC 모멘텀 n=141, threshold=0.12 |
-0.1% | -76.9% | 0.29 | -0.00 | 1.0x | 45 | 23% |
| MACD fast=6, slow=31, signal=18 |
-15.0% | -81.7% | 0.19 | -0.18 | 0.5x | 116 | 52% |
| Buy and hold | -35.8% | -97.2% | 0.15 | -0.37 | 0.1x | 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 17-day average + 2.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 17-day average