Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
OKB backtest
10 trend-following strategies were compared on the full daily history of OKB. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 80.8%, MDD -66.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 71.9%, drawdown -90.2%).
Sharpe leader (same as main): Supertrend — CAGR 85.8%, MDD -69.7%, Sharpe 1.25, 46% exposure.
CAGR reference leader: Parabolic SAR — CAGR 92.9%, MDD -67.3%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.9%p higher than buy and hold, while drawdown improves by 20.5%p (CAGR 80.8%, MDD -66.1%, exposure 36%).
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=19, mult=2.4 |
85.8% | -69.7% | 1.25 | 1.23 | 187.3x | 89 | 46% |
| 볼린저 밴드 돌파 n=15, k=1.3 |
80.8% | -66.1% | 1.17 | 1.22 | 148.6x | 177 | 36% |
| MACD fast=17, slow=59, signal=23 |
74.1% | -69.9% | 1.16 | 1.06 | 107.8x | 93 | 51% |
| Parabolic SAR step=0.03, maxStep=0.32 |
92.9% | -67.3% | 1.15 | 1.38 | 256.4x | 279 | 49% |
| ROC 모멘텀 n=18, threshold=-0.08 |
90.1% | -74.8% | 1.13 | 1.20 | 227.0x | 227 | 74% |
| Donchian 채널 돌파 entryN=16, exitN=78 |
81.5% | -78.5% | 1.05 | 1.04 | 153.5x | 25 | 79% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=23, mult=1.1 |
55.0% | -61.1% | 0.95 | 0.90 | 40.5x | 101 | 35% |
| ADX / DI 방향성 period=23, threshold=14 |
47.4% | -61.0% | 0.87 | 0.78 | 26.5x | 123 | 44% |
| EMA 크로스오버 fast=17, slow=198 |
38.0% | -72.6% | 0.78 | 0.52 | 15.2x | 21 | 61% |
| SMA 크로스오버 fast=31, slow=147 |
37.3% | -78.5% | 0.77 | 0.47 | 14.5x | 25 | 56% |
| Buy and hold | 71.9% | -90.2% | 0.99 | 0.80 | 97.0x | 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) — 19-day volatility, 2.4× band
- Sell — Sell when price drops below the trend line (flips down)