Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Cardano backtest
10 trend-following strategies were compared on the full daily history of Cardano. 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 60.6%, MDD -34.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.5%, drawdown -95.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 60.6%, MDD -34.3%, Sharpe 1.26, 14% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 66.5%, MDD -60.0%, exposure 38%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 63.0%p higher than buy and hold, while drawdown improves by 60.8%p (CAGR 60.6%, MDD -34.3%, exposure 14%).
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=36, k=3.2 |
60.6% | -34.3% | 1.26 | 1.76 | 52.8x | 19 | 14% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=11, mult=3.4 |
56.7% | -34.7% | 1.19 | 1.64 | 43.1x | 18 | 13% |
| Donchian 채널 돌파 entryN=57, exitN=5 |
58.8% | -40.9% | 1.18 | 1.44 | 47.9x | 38 | 14% |
| EMA 크로스오버 fast=16, slow=36 |
66.5% | -60.0% | 1.09 | 1.11 | 71.3x | 53 | 38% |
| SMA 크로스오버 fast=6, slow=81 |
62.9% | -60.6% | 1.06 | 1.04 | 59.4x | 49 | 38% |
| ROC 모멘텀 n=90, threshold=0.16 |
51.2% | -55.4% | 0.97 | 0.92 | 31.9x | 72 | 30% |
| ADX / DI 방향성 period=37, threshold=11 |
42.2% | -69.0% | 0.87 | 0.61 | 19.0x | 87 | 32% |
| MACD fast=24, slow=56, signal=19 |
43.3% | -74.1% | 0.85 | 0.59 | 20.4x | 95 | 54% |
| Supertrend period=9, mult=1.8 |
39.3% | -85.3% | 0.82 | 0.46 | 16.1x | 128 | 44% |
| Parabolic SAR step=0.01, maxStep=0.34 |
26.6% | -86.5% | 0.68 | 0.31 | 7.2x | 135 | 43% |
| Buy and hold | -2.5% | -95.2% | 0.47 | -0.03 | 0.8x | 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 36-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 36-day middle average