Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Algorand backtest
10 trend-following strategies were compared on the full daily history of Algorand. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 22.0%, MDD -31.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -47.4%, drawdown -95.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 41.9%, MDD -39.0%, Sharpe 1.06, 9% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 42.7%, MDD -31.7%, exposure 11%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 89.3%p higher than buy and hold, while drawdown improves by 56.5%p (CAGR 22.0%, MDD -31.2%, exposure 9%).
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=13, atrPeriod=16, mult=2 |
41.9% | -39.0% | 1.06 | 1.07 | 5.2x | 20 | 9% |
| Donchian 채널 돌파 entryN=40, exitN=4 |
42.7% | -31.7% | 1.06 | 1.35 | 5.3x | 24 | 11% |
| 볼린저 밴드 돌파 n=26, k=3 |
42.6% | -31.8% | 1.05 | 1.34 | 5.3x | 14 | 11% |
| ROC 모멘텀 n=14, threshold=0.14 |
34.5% | -36.3% | 0.87 | 0.95 | 4.0x | 78 | 14% |
| EMA 크로스오버 fast=1, slow=72 |
28.2% | -48.2% | 0.73 | 0.59 | 3.2x | 60 | 26% |
| ADX / DI 방향성 period=15, threshold=32 |
22.0% | -31.2% | 0.73 | 0.71 | 2.5x | 22 | 9% |
| Parabolic SAR step=0.01, maxStep=0.18 |
20.8% | -65.1% | 0.61 | 0.32 | 2.4x | 74 | 35% |
| Supertrend period=26, mult=4 |
12.9% | -76.3% | 0.49 | 0.17 | 1.8x | 16 | 26% |
| MACD fast=17, slow=54, signal=21 |
7.2% | -69.2% | 0.42 | 0.10 | 1.4x | 52 | 50% |
| SMA 크로스오버 fast=17, slow=122 |
4.1% | -60.8% | 0.33 | 0.07 | 1.2x | 14 | 28% |
| Buy and hold | -47.4% | -95.5% | -0.35 | -0.50 | 0.0x | 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 13-day average + 2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average