Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Cosmos backtest
10 trend-following strategies were compared on the full daily history of Cosmos. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 29.1%, MDD -49.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.9%, drawdown -96.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 39.0%, MDD -50.9%, Sharpe 0.87, 17% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 54.9%p higher than buy and hold, while drawdown improves by 45.9%p (CAGR 29.1%, MDD -49.1%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=57, k=3.1 |
39.0% | -50.9% | 0.87 | 0.77 | 10.9x | 16 | 17% |
| EMA 크로스오버 fast=10, slow=12 |
38.4% | -63.9% | 0.80 | 0.60 | 10.5x | 116 | 44% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=24, mult=2.7 |
34.7% | -55.3% | 0.79 | 0.63 | 8.6x | 26 | 21% |
| ROC 모멘텀 n=60, threshold=0.14 |
35.0% | -62.6% | 0.78 | 0.56 | 8.8x | 96 | 32% |
| SMA 크로스오버 fast=33, slow=65 |
33.8% | -63.3% | 0.76 | 0.53 | 8.3x | 38 | 43% |
| Donchian 채널 돌파 entryN=49, exitN=9 |
29.1% | -49.1% | 0.72 | 0.59 | 6.3x | 32 | 21% |
| MACD fast=20, slow=53, signal=18 |
29.0% | -72.2% | 0.70 | 0.40 | 6.3x | 94 | 50% |
| Supertrend period=9, mult=3.8 |
23.9% | -72.7% | 0.66 | 0.33 | 4.7x | 38 | 51% |
| ADX / DI 방향성 period=13, threshold=26 |
18.5% | -64.1% | 0.57 | 0.29 | 3.4x | 80 | 21% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-1.1% | -76.0% | 0.32 | -0.01 | 0.9x | 142 | 42% |
| Buy and hold | -15.9% | -96.8% | 0.31 | -0.16 | 0.3x | 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 57-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 57-day middle average