Trend-Following Backtester · Guide · backtest 한국어
etf · BR
Hashdex Nasdaq Crypto Index Fundo de Indice backtest
10 trend-following strategies were compared on the full daily history of Hashdex Nasdaq Crypto Index Fundo de Indice. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 24.2%, MDD -12.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.0%, drawdown -78.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 28.6%, MDD -15.4%, Sharpe 1.21, 21% exposure.
CAGR reference leader: MACD — CAGR 31.1%, MDD -53.6%, exposure 50%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 28.6%p higher than buy and hold, while drawdown improves by 62.7%p (CAGR 24.2%, MDD -12.9%, exposure 15%).
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=33, k=2.5 |
28.6% | -15.4% | 1.21 | 1.85 | 3.8x | 15 | 21% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=26, mult=2.5 |
24.2% | -12.9% | 1.19 | 1.88 | 3.2x | 17 | 15% |
| ROC 모멘텀 n=11, threshold=0.13 |
21.3% | -21.2% | 1.09 | 1.01 | 2.8x | 65 | 13% |
| MACD fast=16, slow=31, signal=18 |
31.1% | -53.6% | 0.93 | 0.58 | 4.3x | 41 | 50% |
| EMA 크로스오버 fast=8, slow=67 |
28.0% | -34.1% | 0.91 | 0.82 | 3.8x | 19 | 47% |
| ADX / DI 방향성 period=30, threshold=12 |
22.9% | -28.7% | 0.88 | 0.80 | 3.0x | 49 | 34% |
| SMA 크로스오버 fast=19, slow=236 |
25.6% | -37.8% | 0.87 | 0.68 | 3.4x | 2 | 50% |
| Donchian 채널 돌파 entryN=43, exitN=51 |
25.5% | -34.6% | 0.83 | 0.74 | 3.4x | 15 | 48% |
| Supertrend period=25, mult=3.8 |
15.1% | -40.3% | 0.59 | 0.37 | 2.1x | 27 | 43% |
| Parabolic SAR step=0.025, maxStep=0.24 |
9.0% | -53.0% | 0.42 | 0.17 | 1.6x | 127 | 50% |
| Buy and hold | -0.0% | -78.1% | 0.27 | -0.00 | 1.0x | 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 33-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 33-day middle average