Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
The Sandbox backtest
10 trend-following strategies were compared on the full daily history of The Sandbox. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 89.7%, MDD -43.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.0%, drawdown -99.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 113.8%, MDD -56.5%, Sharpe 1.30, 17% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 125.8%p higher than buy and hold, while drawdown improves by 42.9%p (CAGR 89.7%, MDD -43.9%, exposure 13%).
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=23, k=2.6 |
113.8% | -56.5% | 1.30 | 2.01 | 66.4x | 32 | 17% |
| ROC 모멘텀 n=32, threshold=0.09 |
112.9% | -63.0% | 1.28 | 1.79 | 64.9x | 74 | 25% |
| ADX / DI 방향성 period=9, threshold=39 |
89.7% | -43.9% | 1.21 | 2.04 | 34.4x | 40 | 13% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=22, mult=1.7 |
92.0% | -54.0% | 1.17 | 1.71 | 36.7x | 30 | 19% |
| Supertrend period=11, mult=2.5 |
91.7% | -77.6% | 1.11 | 1.18 | 36.3x | 56 | 37% |
| SMA 크로스오버 fast=2, slow=15 |
74.8% | -82.8% | 1.01 | 0.90 | 21.8x | 178 | 40% |
| Parabolic SAR step=0.035, maxStep=0.26 |
65.4% | -82.2% | 0.97 | 0.80 | 16.1x | 214 | 43% |
| Donchian 채널 돌파 entryN=69, exitN=36 |
58.5% | -52.5% | 0.94 | 1.11 | 12.7x | 8 | 23% |
| EMA 크로스오버 fast=19, slow=172 |
53.7% | -64.8% | 0.89 | 0.83 | 10.7x | 6 | 23% |
| MACD fast=29, slow=52, signal=7 |
45.3% | -81.1% | 0.82 | 0.56 | 7.9x | 90 | 48% |
| Buy and hold | -12.0% | -99.4% | 0.46 | -0.12 | 0.5x | 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 23-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 23-day middle average