Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cypherpunk Technologies Inc. backtest
10 trend-following strategies were compared on the full daily history of Cypherpunk Technologies Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.7%, MDD -64.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -40.2%, drawdown -99.8%).
Sharpe leader (same as main): Supertrend — CAGR 17.7%, MDD -75.0%, Sharpe 0.56, 36% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 58.0%p higher than buy and hold, while drawdown improves by 24.8%p (CAGR 0.7%, MDD -64.1%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=24, mult=2.3 |
17.7% | -75.0% | 0.56 | 0.24 | 4.7x | 64 | 36% |
| Parabolic SAR step=0.02, maxStep=0.12 |
12.6% | -74.1% | 0.43 | 0.17 | 3.1x | 164 | 43% |
| 볼린저 밴드 돌파 n=23, k=1.7 |
5.0% | -71.9% | 0.38 | 0.07 | 1.6x | 88 | 28% |
| MACD fast=14, slow=32, signal=7 |
-2.1% | -81.6% | 0.37 | -0.03 | 0.8x | 146 | 54% |
| ROC 모멘텀 n=19, threshold=0.02 |
-2.9% | -83.1% | 0.32 | -0.03 | 0.8x | 214 | 41% |
| ADX / DI 방향성 period=8, threshold=7 |
-10.1% | -90.5% | 0.30 | -0.11 | 0.4x | 256 | 51% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=27, mult=1.3 |
0.7% | -64.1% | 0.30 | 0.01 | 1.1x | 78 | 22% |
| Donchian 채널 돌파 entryN=16, exitN=26 |
-14.7% | -88.4% | 0.28 | -0.17 | 0.2x | 54 | 49% |
| EMA 크로스오버 fast=27, slow=32 |
-25.7% | -96.9% | 0.14 | -0.27 | 0.1x | 48 | 36% |
| SMA 크로스오버 fast=22, slow=107 |
-27.6% | -97.3% | 0.11 | -0.28 | 0.0x | 28 | 36% |
| Buy and hold | -40.2% | -99.8% | 0.20 | -0.40 | 0.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 24-day volatility, 2.3× band
- Sell — Sell when price drops below the trend line (flips down)