Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
NYM backtest
10 trend-following strategies were compared on the full daily history of NYM. 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 25.3%, MDD -28.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -53.6%, drawdown -94.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 25.3%, MDD -28.9%, Sharpe 0.86, 16% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 78.9%p higher than buy and hold, while drawdown improves by 66.0%p (CAGR 25.3%, MDD -28.9%, exposure 16%).
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=40, atrPeriod=11, mult=2.8 |
25.3% | -28.9% | 0.86 | 0.88 | 2.0x | 8 | 16% |
| Donchian 채널 돌파 entryN=44, exitN=21 |
22.7% | -31.6% | 0.75 | 0.72 | 1.9x | 6 | 23% |
| ADX / DI 방향성 period=16, threshold=27 |
22.4% | -52.9% | 0.69 | 0.42 | 1.9x | 23 | 28% |
| 볼린저 밴드 돌파 n=33, k=1.9 |
17.9% | -39.1% | 0.62 | 0.46 | 1.7x | 20 | 22% |
| SMA 크로스오버 fast=1, slow=65 |
13.9% | -45.5% | 0.52 | 0.31 | 1.5x | 20 | 30% |
| EMA 크로스오버 fast=6, slow=35 |
4.6% | -52.9% | 0.31 | 0.09 | 1.2x | 24 | 28% |
| MACD fast=54, slow=87, signal=28 |
2.9% | -55.2% | 0.31 | 0.05 | 1.1x | 15 | 46% |
| ROC 모멘텀 n=37, threshold=0.06 |
4.3% | -50.8% | 0.30 | 0.09 | 1.1x | 48 | 26% |
| Supertrend period=28, mult=4.1 |
3.9% | -57.2% | 0.29 | 0.07 | 1.1x | 14 | 27% |
| Parabolic SAR step=0.03, maxStep=0.36 |
-3.5% | -75.3% | 0.19 | -0.05 | 0.9x | 104 | 45% |
| Buy and hold | -53.6% | -94.9% | -0.64 | -0.56 | 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 40-day average + 2.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 40-day average