Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Cardano backtest
10 trend-following strategies were compared on the full daily history of Cardano. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 132.5%, MDD -55.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 31.7%, drawdown -98.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 146.7%, MDD -61.5%, Sharpe 1.35, 18% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 115.0%p higher than buy and hold, while drawdown improves by 36.7%p (CAGR 132.5%, MDD -55.2%, exposure 24%).
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=37, k=3 |
146.7% | -61.5% | 1.35 | 2.38 | 2861.5x | 24 | 18% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=10, mult=2.4 |
137.3% | -58.2% | 1.31 | 2.36 | 2035.5x | 40 | 22% |
| Parabolic SAR step=0.01, maxStep=0.06 |
142.0% | -75.9% | 1.30 | 1.87 | 2421.8x | 120 | 41% |
| SMA 크로스오버 fast=15, slow=43 |
141.5% | -77.8% | 1.30 | 1.82 | 2377.2x | 66 | 41% |
| EMA 크로스오버 fast=21, slow=27 |
139.9% | -77.3% | 1.28 | 1.81 | 2243.5x | 62 | 40% |
| ROC 모멘텀 n=20, threshold=0.13 |
132.5% | -55.2% | 1.27 | 2.40 | 1700.8x | 168 | 24% |
| Supertrend period=28, mult=3.7 |
123.4% | -77.8% | 1.22 | 1.59 | 1197.6x | 45 | 38% |
| Donchian 채널 돌파 entryN=101, exitN=31 |
67.1% | -56.2% | 1.18 | 1.19 | 92.4x | 16 | 27% |
| ADX / DI 방향성 period=11, threshold=14 |
114.6% | -79.1% | 1.17 | 1.45 | 838.6x | 230 | 41% |
| MACD fast=11, slow=50, signal=13 |
79.1% | -74.3% | 1.08 | 1.06 | 170.4x | 157 | 52% |
| Buy and hold | 31.7% | -98.3% | 0.75 | 0.32 | 11.3x | 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 37-day average (3× volatility)
- Sell — Sell when the close falls back to the 37-day middle average