Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
TRX backtest
10 trend-following strategies were compared on the full daily history of TRX. 9 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 32.6%, MDD -51.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 13.2%, drawdown -91.6%).
Sharpe leader (same as main): MACD — CAGR 52.3%, MDD -68.0%, Sharpe 0.97, 54% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 52.9%, MDD -63.5%, exposure 78%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 39.0%p higher than buy and hold, while drawdown improves by 23.7%p (CAGR 32.6%, MDD -51.2%, exposure 39%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=24, slow=39, signal=28 |
52.3% | -68.0% | 0.97 | 0.77 | 39.1x | 100 | 54% |
| ROC 모멘텀 n=29, threshold=-0.1 |
52.9% | -63.5% | 0.96 | 0.83 | 40.5x | 147 | 78% |
| SMA 크로스오버 fast=18, slow=43 |
39.9% | -67.9% | 0.86 | 0.59 | 18.7x | 67 | 57% |
| Donchian 채널 돌파 entryN=13, exitN=44 |
37.3% | -72.1% | 0.80 | 0.52 | 15.9x | 35 | 79% |
| 볼린저 밴드 돌파 n=40, k=1.9 |
32.6% | -51.2% | 0.79 | 0.64 | 11.7x | 68 | 39% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=20, mult=0.8 |
31.7% | -58.5% | 0.77 | 0.54 | 11.0x | 100 | 45% |
| Supertrend period=26, mult=4.1 |
31.5% | -63.5% | 0.74 | 0.50 | 10.9x | 45 | 49% |
| EMA 크로스오버 fast=23, slow=27 |
27.3% | -71.0% | 0.70 | 0.38 | 8.2x | 63 | 56% |
| ADX / DI 방향성 period=29, threshold=6 |
23.7% | -75.5% | 0.65 | 0.31 | 6.4x | 137 | 57% |
| Parabolic SAR step=0.01, maxStep=0.1 |
9.5% | -78.5% | 0.45 | 0.12 | 2.2x | 139 | 52% |
| Buy and hold | 13.2% | -91.6% | 0.57 | 0.14 | 3.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (24/39) crosses above its 28-day signal line
- Sell — Sell when the MACD line crosses back below the signal line