Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
BNB backtest
10 trend-following strategies were compared on the full daily history of BNB. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 27.3%, MDD -19.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 31.4%, drawdown -58.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 38.8%, MDD -39.1%, Sharpe 1.05, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.4%p higher than buy and hold, while drawdown improves by 19.1%p (CAGR 27.3%, MDD -19.2%, exposure 21%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=25, slow=65 |
38.8% | -39.1% | 1.05 | 0.99 | 3.4x | 11 | 50% |
| ADX / DI 방향성 period=38, threshold=20 |
27.3% | -19.2% | 1.05 | 1.43 | 2.4x | 12 | 21% |
| Supertrend period=18, mult=4.2 |
38.2% | -33.3% | 1.04 | 1.15 | 3.3x | 13 | 53% |
| SMA 크로스오버 fast=38, slow=189 |
35.4% | -37.6% | 1.00 | 0.94 | 3.1x | 7 | 45% |
| 볼린저 밴드 돌파 n=58, k=1.5 |
32.9% | -33.1% | 1.00 | 0.99 | 2.9x | 21 | 39% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=8, mult=2.9 |
23.9% | -23.9% | 0.96 | 1.00 | 2.2x | 9 | 19% |
| ROC 모멘텀 n=93, threshold=0.13 |
23.3% | -36.5% | 0.80 | 0.64 | 2.2x | 38 | 32% |
| Donchian 채널 돌파 entryN=66, exitN=45 |
23.8% | -46.3% | 0.78 | 0.51 | 2.2x | 9 | 40% |
| Parabolic SAR step=0.005, maxStep=0.28 |
22.3% | -48.8% | 0.75 | 0.46 | 2.1x | 35 | 47% |
| MACD fast=10, slow=48, signal=13 |
18.8% | -31.4% | 0.66 | 0.60 | 1.9x | 65 | 52% |
| Buy and hold | 31.4% | -58.2% | 0.80 | 0.54 | 2.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 25-day EMA crosses above the 65-day EMA
- Sell — Sell when the 25-day EMA falls below the 65-day EMA