Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Stacks backtest
10 trend-following strategies were compared on the full daily history of Stacks. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 55.8%, MDD -39.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -41.4%, drawdown -96.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 55.8%, MDD -39.9%, Sharpe 1.04, 17% exposure.
CAGR reference leader: Supertrend — CAGR 61.7%, MDD -65.1%, exposure 27%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 97.2%p higher than buy and hold, while drawdown improves by 56.4%p (CAGR 55.8%, MDD -39.9%, exposure 17%).
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=60, k=2.9 |
55.8% | -39.9% | 1.04 | 1.40 | 10.6x | 8 | 17% |
| Supertrend period=78, mult=3.3 |
61.7% | -65.1% | 1.04 | 0.95 | 12.9x | 24 | 27% |
| ROC 모멘텀 n=85, threshold=0.2 |
50.6% | -57.5% | 0.93 | 0.88 | 8.8x | 30 | 24% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=30, mult=2.9 |
46.1% | -42.4% | 0.91 | 1.09 | 7.5x | 10 | 17% |
| EMA 크로스오버 fast=39, slow=71 |
50.2% | -54.9% | 0.91 | 0.91 | 8.7x | 8 | 28% |
| ADX / DI 방향성 period=34, threshold=19 |
43.3% | -47.5% | 0.87 | 0.91 | 6.8x | 16 | 20% |
| Donchian 채널 돌파 entryN=112, exitN=19 |
40.1% | -47.3% | 0.84 | 0.85 | 6.0x | 8 | 16% |
| SMA 크로스오버 fast=18, slow=93 |
41.2% | -70.1% | 0.82 | 0.59 | 6.3x | 20 | 34% |
| Parabolic SAR step=0.055, maxStep=0.2 |
-1.1% | -82.3% | 0.35 | -0.01 | 0.9x | 276 | 44% |
| MACD fast=7, slow=44, signal=21 |
-10.2% | -86.1% | 0.25 | -0.12 | 0.6x | 108 | 52% |
| Buy and hold | -41.4% | -96.3% | 0.01 | -0.43 | 0.1x | 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 60-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 60-day middle average