Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Stellar backtest
10 trend-following strategies were compared on the full daily history of Stellar. 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 143.2%, MDD -52.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 39.3%, drawdown -96.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 143.2%, MDD -52.8%, Sharpe 1.39, 25% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 103.9%p higher than buy and hold, while drawdown improves by 43.7%p (CAGR 143.2%, MDD -52.8%, exposure 25%).
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=12, k=2 |
143.2% | -52.8% | 1.39 | 2.71 | 2597.1x | 142 | 25% |
| ROC 모멘텀 n=7, threshold=0.08 |
113.9% | -56.1% | 1.30 | 2.03 | 833.0x | 280 | 20% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=14, mult=0.9 |
119.6% | -55.9% | 1.26 | 2.14 | 1050.8x | 148 | 27% |
| EMA 크로스오버 fast=7, slow=9 |
116.3% | -62.7% | 1.23 | 1.85 | 921.9x | 186 | 40% |
| ADX / DI 방향성 period=10, threshold=17 |
109.2% | -71.0% | 1.20 | 1.54 | 684.6x | 212 | 43% |
| MACD fast=6, slow=47, signal=9 |
95.7% | -72.2% | 1.17 | 1.33 | 379.4x | 238 | 49% |
| SMA 크로스오버 fast=3, slow=14 |
102.5% | -61.4% | 1.16 | 1.67 | 514.3x | 256 | 41% |
| Supertrend period=8, mult=2.3 |
105.1% | -71.5% | 1.16 | 1.47 | 574.1x | 98 | 45% |
| Donchian 채널 돌파 entryN=10, exitN=5 |
91.2% | -68.3% | 1.10 | 1.34 | 309.0x | 140 | 33% |
| Parabolic SAR step=0.05, maxStep=0.08 |
83.3% | -61.7% | 1.09 | 1.35 | 212.5x | 244 | 42% |
| Buy and hold | 39.3% | -96.6% | 0.81 | 0.41 | 18.8x | 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 12-day average (2× volatility)
- Sell — Sell when the close falls back to the 12-day middle average