Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Cosmos backtest
10 trend-following strategies were compared on the full daily history of Cosmos. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.0%, MDD -48.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.1%, drawdown -97.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 37.4%, MDD -61.7%, Sharpe 0.79, 44% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 49.6%p higher than buy and hold, while drawdown improves by 35.5%p (CAGR 9.0%, MDD -48.5%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=50, slow=77 |
37.4% | -61.7% | 0.79 | 0.61 | 10.3x | 36 | 44% |
| 볼린저 밴드 돌파 n=57, k=3.2 |
22.4% | -60.9% | 0.63 | 0.37 | 4.4x | 18 | 16% |
| MACD fast=17, slow=50, signal=27 |
20.9% | -86.0% | 0.62 | 0.24 | 4.0x | 95 | 50% |
| Supertrend period=3, mult=5 |
16.6% | -73.3% | 0.60 | 0.23 | 3.1x | 27 | 57% |
| Donchian 채널 돌파 entryN=70, exitN=64 |
16.5% | -74.6% | 0.57 | 0.22 | 3.1x | 16 | 40% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=23, mult=4 |
17.8% | -58.6% | 0.57 | 0.30 | 3.3x | 12 | 9% |
| EMA 크로스오버 fast=11, slow=61 |
14.1% | -73.5% | 0.54 | 0.19 | 2.6x | 52 | 37% |
| ROC 모멘텀 n=61, threshold=0.12 |
15.6% | -81.8% | 0.54 | 0.19 | 2.9x | 114 | 32% |
| Parabolic SAR step=0.05, maxStep=0.06 |
5.8% | -92.7% | 0.44 | 0.06 | 1.5x | 186 | 46% |
| ADX / DI 방향성 period=33, threshold=16 |
9.0% | -48.5% | 0.42 | 0.18 | 1.9x | 42 | 17% |
| Buy and hold | -12.1% | -97.2% | 0.41 | -0.12 | 0.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 50-day average price crosses above the 77-day average
- Sell — Sell (to cash) when the 50-day average falls below the 77-day average