Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Dogecoin backtest
10 trend-following strategies were compared on the full daily history of Dogecoin. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 122.0%, MDD -63.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 53.3%, drawdown -92.3%).
Sharpe leader (same as main): MACD — CAGR 122.0%, MDD -63.6%, Sharpe 1.23, 52% exposure.
Return/drawdown alternative: MACD — CAGR is 68.7%p higher than buy and hold, while drawdown improves by 28.7%p (CAGR 122.0%, MDD -63.6%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=15, slow=37, signal=21 |
122.0% | -63.6% | 1.23 | 1.92 | 301.5x | 85 | 52% |
| 볼린저 밴드 돌파 n=25, k=1.2 |
83.4% | -66.5% | 1.04 | 1.25 | 76.6x | 91 | 33% |
| SMA 크로스오버 fast=7, slow=18 |
82.1% | -64.7% | 1.03 | 1.27 | 72.9x | 145 | 43% |
| Donchian 채널 돌파 entryN=20, exitN=7 |
73.5% | -63.8% | 0.98 | 1.15 | 51.5x | 60 | 29% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=10, mult=1.1 |
67.4% | -71.8% | 0.95 | 0.94 | 39.9x | 100 | 24% |
| Parabolic SAR step=0.015, maxStep=0.08 |
67.2% | -78.1% | 0.95 | 0.86 | 39.6x | 126 | 43% |
| Supertrend period=24, mult=1.8 |
66.5% | -70.9% | 0.94 | 0.94 | 38.4x | 104 | 38% |
| ROC 모멘텀 n=15, threshold=0 |
65.2% | -78.1% | 0.94 | 0.84 | 36.4x | 279 | 45% |
| EMA 크로스오버 fast=7, slow=17 |
59.1% | -79.1% | 0.90 | 0.75 | 27.8x | 115 | 43% |
| ADX / DI 방향성 period=11, threshold=35 |
53.7% | -77.9% | 0.85 | 0.69 | 21.7x | 67 | 19% |
| Buy and hold | 53.3% | -92.3% | 0.74 | 0.58 | 21.3x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (15/37) crosses above its 21-day signal line
- Sell — Sell when the MACD line crosses back below the signal line