Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
KAS backtest
10 trend-following strategies were compared on the full daily history of KAS. 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 51.0%, MDD -31.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.3%, drawdown -87.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 62.0%, MDD -34.7%, Sharpe 1.15, 26% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 58.8%p higher than buy and hold, while drawdown improves by 53.0%p (CAGR 51.0%, MDD -31.9%, exposure 17%).
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=15, atrPeriod=28, mult=0.9 |
62.0% | -34.7% | 1.15 | 1.79 | 4.4x | 41 | 26% |
| 볼린저 밴드 돌파 n=16, k=3.1 |
45.8% | -31.9% | 1.13 | 1.43 | 3.2x | 11 | 10% |
| ADX / DI 방향성 period=8, threshold=39 |
51.0% | -31.9% | 1.11 | 1.60 | 3.5x | 31 | 17% |
| Parabolic SAR step=0.025, maxStep=0.26 |
38.9% | -52.3% | 0.82 | 0.74 | 2.7x | 87 | 46% |
| ROC 모멘텀 n=36, threshold=0.03 |
36.7% | -53.1% | 0.82 | 0.69 | 2.6x | 65 | 35% |
| Supertrend period=12, mult=2.6 |
36.1% | -54.5% | 0.80 | 0.66 | 2.6x | 27 | 37% |
| MACD fast=17, slow=27, signal=18 |
34.2% | -69.9% | 0.76 | 0.49 | 2.5x | 53 | 47% |
| EMA 크로스오버 fast=4, slow=14 |
33.2% | -52.8% | 0.76 | 0.63 | 2.4x | 77 | 43% |
| Donchian 채널 돌파 entryN=27, exitN=17 |
31.8% | -43.7% | 0.75 | 0.73 | 2.3x | 15 | 38% |
| SMA 크로스오버 fast=7, slow=55 |
23.1% | -64.2% | 0.64 | 0.36 | 1.9x | 27 | 37% |
| Buy and hold | 3.3% | -87.7% | 0.49 | 0.04 | 1.1x | 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 15-day average + 0.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 15-day average