Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
HBAR backtest
10 trend-following strategies were compared on the full daily history of HBAR. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 35.7%, MDD -44.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -25.1%, drawdown -88.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 44.0%, MDD -46.5%, Sharpe 0.90, 10% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 69.1%p higher than buy and hold, while drawdown improves by 42.3%p (CAGR 35.7%, MDD -44.0%, exposure 15%).
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=12, mult=2.5 |
44.0% | -46.5% | 0.90 | 0.95 | 5.5x | 16 | 10% |
| 볼린저 밴드 돌파 n=31, k=1.7 |
40.9% | -55.8% | 0.82 | 0.73 | 5.0x | 35 | 24% |
| ADX / DI 방향성 period=10, threshold=36 |
35.7% | -44.0% | 0.78 | 0.81 | 4.2x | 41 | 15% |
| ROC 모멘텀 n=74, threshold=0.02 |
37.1% | -46.0% | 0.74 | 0.81 | 4.4x | 46 | 28% |
| Supertrend period=37, mult=3.9 |
30.1% | -50.6% | 0.70 | 0.59 | 3.4x | 19 | 22% |
| Donchian 채널 돌파 entryN=43, exitN=14 |
28.6% | -61.1% | 0.68 | 0.47 | 3.2x | 19 | 22% |
| SMA 크로스오버 fast=11, slow=106 |
27.9% | -54.4% | 0.67 | 0.51 | 3.2x | 17 | 31% |
| EMA 크로스오버 fast=10, slow=45 |
18.7% | -58.9% | 0.56 | 0.32 | 2.2x | 39 | 30% |
| Parabolic SAR step=0.02, maxStep=0.2 |
12.4% | -67.3% | 0.49 | 0.18 | 1.7x | 134 | 43% |
| MACD fast=15, slow=55, signal=12 |
7.0% | -74.1% | 0.43 | 0.09 | 1.4x | 75 | 52% |
| Buy and hold | -25.1% | -88.8% | 0.16 | -0.28 | 0.3x | 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