Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
CRO backtest
10 trend-following strategies were compared on the full daily history of CRO. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 79.7%, MDD -44.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.3%, drawdown -95.0%).
Sharpe leader (same as main): Supertrend — CAGR 105.8%, MDD -47.5%, Sharpe 1.45, 25% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 106.1%p higher than buy and hold, while drawdown improves by 47.5%p (CAGR 79.7%, MDD -44.8%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=77, mult=4.5 |
105.8% | -47.5% | 1.45 | 2.23 | 189.4x | 23 | 25% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=13, mult=2.4 |
98.0% | -49.2% | 1.42 | 1.99 | 143.3x | 24 | 21% |
| ROC 모멘텀 n=30, threshold=0.13 |
91.0% | -68.7% | 1.31 | 1.33 | 110.2x | 99 | 27% |
| Donchian 채널 돌파 entryN=60, exitN=12 |
79.7% | -44.8% | 1.27 | 1.78 | 70.6x | 20 | 20% |
| 볼린저 밴드 돌파 n=22, k=2.3 |
79.5% | -57.3% | 1.24 | 1.39 | 70.2x | 57 | 25% |
| SMA 크로스오버 fast=4, slow=30 |
88.8% | -66.2% | 1.23 | 1.34 | 101.4x | 105 | 42% |
| MACD fast=9, slow=47, signal=24 |
90.1% | -75.1% | 1.23 | 1.20 | 106.6x | 87 | 53% |
| EMA 크로스오버 fast=8, slow=22 |
86.9% | -72.8% | 1.22 | 1.19 | 94.1x | 73 | 42% |
| ADX / DI 방향성 period=39, threshold=12 |
67.8% | -73.9% | 1.05 | 0.92 | 43.1x | 59 | 45% |
| Parabolic SAR step=0.06, maxStep=0.08 |
34.5% | -75.2% | 0.75 | 0.46 | 8.6x | 221 | 44% |
| Buy and hold | -0.3% | -95.0% | 0.46 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 77-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)