Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
RAY backtest
10 trend-following strategies were compared on the full daily history of RAY. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 101.3%, MDD -50.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -24.8%, drawdown -98.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 115.6%, MDD -60.2%, Sharpe 1.23, 40% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 140.3%p higher than buy and hold, while drawdown improves by 38.0%p (CAGR 101.3%, MDD -50.4%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=18, threshold=0.02 |
115.6% | -60.2% | 1.23 | 1.92 | 39.6x | 147 | 40% |
| 볼린저 밴드 돌파 n=45, k=2.3 |
101.3% | -50.4% | 1.18 | 2.01 | 28.5x | 25 | 27% |
| ADX / DI 방향성 period=9, threshold=39 |
96.7% | -61.4% | 1.17 | 1.57 | 25.6x | 41 | 26% |
| MACD fast=19, slow=58, signal=13 |
103.7% | -85.2% | 1.16 | 1.22 | 30.2x | 51 | 55% |
| Donchian 채널 돌파 entryN=32, exitN=7 |
85.0% | -58.0% | 1.12 | 1.47 | 19.0x | 29 | 26% |
| SMA 크로스오버 fast=17, slow=33 |
91.7% | -63.3% | 1.11 | 1.45 | 22.5x | 43 | 42% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=24, mult=3.1 |
77.4% | -52.1% | 1.11 | 1.48 | 15.6x | 13 | 15% |
| EMA 크로스오버 fast=7, slow=159 |
78.7% | -62.2% | 1.06 | 1.27 | 16.1x | 15 | 32% |
| Supertrend period=12, mult=4 |
70.4% | -71.6% | 0.99 | 0.98 | 12.8x | 19 | 54% |
| Parabolic SAR step=0.02, maxStep=0.3 |
35.5% | -72.7% | 0.75 | 0.49 | 4.3x | 137 | 45% |
| Buy and hold | -24.8% | -98.2% | 0.39 | -0.25 | 0.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 18-day return is greater than 2%
- Sell — Sell when the 18-day return drops to 2% or below