Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sharplink, Inc. backtest
10 trend-following strategies were compared on the full daily history of Sharplink, Inc.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
7 of 10 beat buy and hold (CAGR -21.7%, drawdown -100.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -3.6%, MDD -98.4%, Sharpe 0.30, 45% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=67, exitN=77 |
-3.6% | -98.4% | 0.30 | -0.04 | 0.3x | 39 | 45% |
| SMA 크로스오버 fast=34, slow=83 |
-4.2% | -98.1% | 0.27 | -0.04 | 0.3x | 79 | 36% |
| EMA 크로스오버 fast=39, slow=91 |
-6.0% | -99.2% | 0.22 | -0.06 | 0.2x | 67 | 32% |
| ADX / DI 방향성 period=42, threshold=23 |
-5.7% | -96.8% | 0.18 | -0.06 | 0.2x | 40 | 24% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=19, mult=3.4 |
-10.4% | -99.4% | 0.14 | -0.10 | 0.0x | 67 | 15% |
| 볼린저 밴드 돌파 n=47, k=3 |
-15.4% | -99.5% | 0.08 | -0.15 | 0.0x | 79 | 15% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-24.2% | -100.0% | 0.06 | -0.24 | 0.0x | 473 | 40% |
| Supertrend period=27, mult=4.9 |
-20.2% | -100.0% | 0.06 | -0.20 | 0.0x | 103 | 33% |
| ROC 모멘텀 n=65, threshold=0.06 |
-23.9% | -100.0% | 0.04 | -0.24 | 0.0x | 375 | 31% |
| MACD fast=18, slow=56, signal=19 |
-35.9% | -100.0% | -0.01 | -0.36 | 0.0x | 335 | 52% |
| Buy and hold | -21.7% | -100.0% | 0.31 | -0.22 | 0.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 67 days
- Sell — Sell when price breaks below the lowest low of the last 77 days