Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
SUI backtest
10 trend-following strategies were compared on the full daily history of SUI. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 81.6%, MDD -32.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.6%, drawdown -87.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 93.8%, MDD -47.3%, Sharpe 1.34, 31% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 98.5%, MDD -61.3%, exposure 36%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 97.5%p higher than buy and hold, while drawdown improves by 40.2%p (CAGR 81.6%, MDD -32.5%, exposure 21%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=20, mult=1.1 |
93.8% | -47.3% | 1.34 | 1.98 | 9.6x | 33 | 31% |
| Donchian 채널 돌파 entryN=100, exitN=19 |
81.6% | -32.5% | 1.34 | 2.51 | 7.7x | 5 | 21% |
| ROC 모멘텀 n=41, threshold=0.07 |
98.5% | -61.3% | 1.33 | 1.61 | 10.4x | 53 | 36% |
| SMA 크로스오버 fast=5, slow=54 |
96.5% | -57.7% | 1.30 | 1.67 | 10.0x | 33 | 41% |
| ADX / DI 방향성 period=35, threshold=11 |
89.1% | -62.8% | 1.28 | 1.42 | 8.8x | 31 | 36% |
| Supertrend period=7, mult=3.4 |
94.0% | -48.0% | 1.24 | 1.96 | 9.6x | 15 | 48% |
| EMA 크로스오버 fast=17, slow=35 |
83.9% | -64.1% | 1.21 | 1.31 | 8.0x | 19 | 41% |
| 볼린저 밴드 돌파 n=27, k=1.7 |
75.3% | -45.4% | 1.19 | 1.66 | 6.8x | 33 | 31% |
| MACD fast=14, slow=52, signal=19 |
81.6% | -57.2% | 1.16 | 1.43 | 7.7x | 45 | 56% |
| Parabolic SAR step=0.015, maxStep=0.16 |
38.7% | -63.4% | 0.80 | 0.61 | 3.1x | 75 | 48% |
| Buy and hold | -3.6% | -87.6% | 0.45 | -0.04 | 0.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 27-day average + 1.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 27-day average