Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
OP backtest
10 trend-following strategies were compared on the full daily history of OP. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 32.0%, MDD -22.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -44.0%, drawdown -98.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 53.4%, MDD -49.7%, Sharpe 0.97, 19% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 97.4%p higher than buy and hold, while drawdown improves by 48.5%p (CAGR 32.0%, MDD -22.7%, exposure 7%).
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=14, k=2.4 |
53.4% | -49.7% | 0.97 | 1.07 | 6.2x | 44 | 19% |
| Donchian 채널 돌파 entryN=67, exitN=3 |
32.0% | -22.7% | 0.91 | 1.41 | 3.3x | 12 | 7% |
| MACD fast=19, slow=26, signal=21 |
33.2% | -76.1% | 0.73 | 0.44 | 3.4x | 57 | 51% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=21, mult=3.4 |
21.0% | -28.5% | 0.73 | 0.74 | 2.3x | 6 | 4% |
| Supertrend period=19, mult=2.3 |
32.0% | -65.8% | 0.72 | 0.49 | 3.3x | 42 | 40% |
| ROC 모멘텀 n=133, threshold=0.02 |
30.4% | -57.9% | 0.71 | 0.52 | 3.1x | 20 | 31% |
| ADX / DI 방향성 period=14, threshold=26 |
15.6% | -75.3% | 0.52 | 0.21 | 1.9x | 48 | 20% |
| SMA 크로스오버 fast=13, slow=56 |
12.1% | -71.6% | 0.50 | 0.17 | 1.6x | 33 | 36% |
| EMA 크로스오버 fast=29, slow=205 |
8.1% | -58.1% | 0.41 | 0.14 | 1.4x | 6 | 22% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-26.3% | -93.1% | 0.01 | -0.28 | 0.3x | 98 | 45% |
| Buy and hold | -44.0% | -98.2% | 0.04 | -0.45 | 0.1x | 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 14-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 14-day middle average