Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
DOT backtest
10 trend-following strategies were compared on the full daily history of DOT. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 44.9%, MDD -35.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.6%, drawdown -98.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 53.5%, MDD -47.7%, Sharpe 1.12, 13% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 71.1%p higher than buy and hold, while drawdown improves by 50.9%p (CAGR 44.9%, MDD -35.9%, exposure 11%).
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=22, k=2.9 |
53.5% | -47.7% | 1.12 | 1.12 | 13.7x | 21 | 13% |
| ADX / DI 방향성 period=23, threshold=23 |
48.6% | -48.5% | 1.07 | 1.00 | 11.2x | 21 | 13% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=26, mult=3.3 |
44.9% | -35.9% | 1.05 | 1.25 | 9.7x | 11 | 11% |
| Supertrend period=31, mult=4.3 |
51.3% | -67.2% | 0.96 | 0.76 | 12.6x | 19 | 34% |
| ROC 모멘텀 n=41, threshold=0.1 |
46.9% | -60.6% | 0.93 | 0.77 | 10.5x | 79 | 28% |
| Donchian 채널 돌파 entryN=90, exitN=11 |
38.2% | -46.5% | 0.88 | 0.82 | 7.2x | 15 | 16% |
| MACD fast=20, slow=83, signal=40 |
37.0% | -86.5% | 0.79 | 0.43 | 6.8x | 49 | 51% |
| SMA 크로스오버 fast=5, slow=98 |
34.9% | -74.5% | 0.78 | 0.47 | 6.2x | 35 | 33% |
| EMA 크로스오버 fast=25, slow=97 |
30.4% | -65.4% | 0.73 | 0.46 | 5.1x | 13 | 30% |
| Parabolic SAR step=0.005, maxStep=0.38 |
5.2% | -85.5% | 0.39 | 0.06 | 1.4x | 55 | 32% |
| Buy and hold | -17.6% | -98.6% | 0.26 | -0.18 | 0.3x | 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 22-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 22-day middle average