Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Algorand backtest
10 trend-following strategies were compared on the full daily history of Algorand. 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 46.6%, MDD -56.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -36.3%, drawdown -96.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 46.6%, MDD -56.2%, Sharpe 0.91, 16% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 83.0%p higher than buy and hold, while drawdown improves by 40.6%p (CAGR 46.6%, MDD -56.2%, exposure 16%).
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=41, k=2.9 |
46.6% | -56.2% | 0.91 | 0.83 | 15.7x | 24 | 16% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=18, mult=2.5 |
35.5% | -62.7% | 0.78 | 0.57 | 8.9x | 30 | 15% |
| Donchian 채널 돌파 entryN=21, exitN=6 |
33.4% | -61.4% | 0.75 | 0.54 | 8.0x | 68 | 26% |
| SMA 크로스오버 fast=59, slow=72 |
31.0% | -74.4% | 0.74 | 0.42 | 7.0x | 40 | 38% |
| Supertrend period=36, mult=3.7 |
33.3% | -76.9% | 0.74 | 0.43 | 7.9x | 29 | 31% |
| MACD fast=27, slow=54, signal=23 |
28.2% | -89.7% | 0.70 | 0.31 | 6.0x | 67 | 53% |
| ROC 모멘텀 n=95, threshold=0.04 |
25.3% | -74.0% | 0.66 | 0.34 | 5.1x | 80 | 36% |
| EMA 크로스오버 fast=39, slow=135 |
19.2% | -65.7% | 0.59 | 0.29 | 3.5x | 12 | 28% |
| ADX / DI 방향성 period=22, threshold=16 |
18.7% | -67.9% | 0.57 | 0.28 | 3.4x | 84 | 26% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-9.3% | -90.6% | 0.22 | -0.10 | 0.5x | 77 | 39% |
| Buy and hold | -36.3% | -96.7% | 0.15 | -0.38 | 0.0x | 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 41-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 41-day middle average