Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
MNT backtest
10 trend-following strategies were compared on the full daily history of MNT. 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 81.4%, MDD -44.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.1%, drawdown -85.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 81.4%, MDD -44.8%, Sharpe 1.23, 28% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 79.3%p higher than buy and hold, while drawdown improves by 40.6%p (CAGR 81.4%, MDD -44.8%, exposure 28%).
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=60, k=1.7 |
81.4% | -44.8% | 1.23 | 1.82 | 6.4x | 9 | 28% |
| ROC 모멘텀 n=50, threshold=0.07 |
79.9% | -52.1% | 1.19 | 1.53 | 6.3x | 43 | 33% |
| ADX / DI 방향성 period=38, threshold=17 |
73.5% | -48.9% | 1.14 | 1.50 | 5.6x | 18 | 33% |
| SMA 크로스오버 fast=42, slow=77 |
74.4% | -61.5% | 1.13 | 1.21 | 5.7x | 8 | 37% |
| EMA 크로스오버 fast=12, slow=74 |
71.8% | -47.9% | 1.12 | 1.50 | 5.4x | 7 | 35% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=12, mult=1.3 |
65.9% | -52.3% | 1.09 | 1.26 | 4.9x | 21 | 29% |
| Supertrend period=23, mult=4.3 |
61.7% | -49.1% | 1.07 | 1.26 | 4.5x | 15 | 36% |
| Donchian 채널 돌파 entryN=47, exitN=24 |
62.0% | -62.0% | 1.03 | 1.00 | 4.5x | 7 | 34% |
| Parabolic SAR step=0.035, maxStep=0.14 |
42.3% | -59.2% | 0.87 | 0.71 | 3.0x | 107 | 47% |
| MACD fast=17, slow=37, signal=21 |
27.6% | -56.0% | 0.69 | 0.49 | 2.1x | 43 | 50% |
| Buy and hold | 2.1% | -85.4% | 0.44 | 0.02 | 1.1x | 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 60-day average (1.7× volatility)
- Sell — Sell when the close falls back to the 60-day middle average