Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
XRP backtest
10 trend-following strategies were compared on the full daily history of XRP. 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 111.9%, MDD -42.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 25.5%, drawdown -95.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 111.9%, MDD -42.9%, Sharpe 1.36, 28% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 86.4%p higher than buy and hold, while drawdown improves by 53.0%p (CAGR 111.9%, MDD -42.9%, exposure 28%).
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=16, k=1.8 |
111.9% | -42.9% | 1.36 | 2.61 | 767.6x | 130 | 28% |
| Donchian 채널 돌파 entryN=35, exitN=2 |
91.7% | -46.8% | 1.30 | 1.96 | 316.0x | 64 | 11% |
| ADX / DI 방향성 period=8, threshold=36 |
102.9% | -56.6% | 1.28 | 1.82 | 521.7x | 132 | 24% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=17, mult=1.2 |
92.2% | -44.7% | 1.26 | 2.06 | 322.9x | 100 | 15% |
| MACD fast=10, slow=69, signal=8 |
97.3% | -57.2% | 1.21 | 1.70 | 408.7x | 188 | 48% |
| Parabolic SAR step=0.015, maxStep=0.12 |
88.2% | -67.9% | 1.16 | 1.30 | 268.8x | 166 | 43% |
| ROC 모멘텀 n=7, threshold=0.03 |
85.3% | -55.6% | 1.13 | 1.53 | 234.7x | 412 | 31% |
| Supertrend period=8, mult=2.3 |
81.6% | -67.7% | 1.10 | 1.20 | 195.6x | 94 | 46% |
| SMA 크로스오버 fast=3, slow=24 |
72.9% | -60.9% | 1.04 | 1.20 | 127.0x | 170 | 42% |
| EMA 크로스오버 fast=4, slow=25 |
59.4% | -68.4% | 0.94 | 0.87 | 61.8x | 146 | 41% |
| Buy and hold | 25.5% | -95.9% | 0.70 | 0.27 | 7.5x | 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 16-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 16-day middle average