Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Chainlink backtest
10 trend-following strategies were compared on the full daily history of Chainlink. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 24.4%, MDD -26.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.7%, drawdown -89.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 33.0%, MDD -53.8%, Sharpe 0.82, 19% exposure.
CAGR reference leader: Parabolic SAR — CAGR 33.3%, MDD -54.5%, exposure 45%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 32.3%p higher than buy and hold, while drawdown improves by 35.8%p (CAGR 24.4%, MDD -26.3%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=105, exitN=17 |
33.0% | -53.8% | 0.82 | 0.61 | 5.5x | 10 | 19% |
| 볼린저 밴드 돌파 n=33, k=3.5 |
24.4% | -26.3% | 0.80 | 0.93 | 3.7x | 6 | 7% |
| Parabolic SAR step=0.01, maxStep=0.16 |
33.3% | -54.5% | 0.76 | 0.61 | 5.6x | 107 | 45% |
| Supertrend period=48, mult=4.8 |
32.7% | -70.4% | 0.76 | 0.46 | 5.4x | 18 | 42% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=33, mult=4 |
25.3% | -49.0% | 0.74 | 0.52 | 3.9x | 10 | 15% |
| ADX / DI 방향성 period=27, threshold=23 |
21.5% | -28.8% | 0.73 | 0.75 | 3.2x | 16 | 10% |
| ROC 모멘텀 n=31, threshold=0.12 |
28.7% | -73.5% | 0.72 | 0.39 | 4.5x | 114 | 29% |
| SMA 크로스오버 fast=9, slow=91 |
25.1% | -77.0% | 0.67 | 0.33 | 3.8x | 30 | 45% |
| MACD fast=11, slow=50, signal=15 |
22.7% | -55.5% | 0.63 | 0.41 | 3.4x | 111 | 52% |
| EMA 크로스오버 fast=31, slow=49 |
21.2% | -71.3% | 0.62 | 0.30 | 3.2x | 30 | 44% |
| Buy and hold | 0.7% | -89.6% | 0.47 | 0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 105 days
- Sell — Sell when price breaks below the lowest low of the last 17 days