Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Polkadot backtest
10 trend-following strategies were compared on the full daily history of Polkadot. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 40.6%, MDD -26.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -19.5%, drawdown -98.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 51.2%, MDD -35.9%, Sharpe 1.05, 14% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 70.7%p higher than buy and hold, while drawdown improves by 62.7%p (CAGR 40.6%, MDD -26.6%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=17, mult=2.3 |
51.2% | -35.9% | 1.05 | 1.43 | 12.1x | 24 | 14% |
| 볼린저 밴드 돌파 n=27, k=3.5 |
40.6% | -26.6% | 1.01 | 1.53 | 7.8x | 6 | 6% |
| ADX / DI 방향성 period=39, threshold=11 |
45.4% | -63.1% | 0.90 | 0.72 | 9.6x | 64 | 27% |
| Donchian 채널 돌파 entryN=80, exitN=13 |
39.2% | -44.8% | 0.87 | 0.87 | 7.3x | 12 | 15% |
| Supertrend period=22, mult=4.8 |
36.6% | -74.0% | 0.79 | 0.49 | 6.6x | 17 | 37% |
| ROC 모멘텀 n=32, threshold=0.13 |
31.3% | -57.7% | 0.74 | 0.54 | 5.2x | 90 | 23% |
| EMA 크로스오버 fast=31, slow=76 |
30.9% | -65.7% | 0.73 | 0.47 | 5.1x | 14 | 31% |
| SMA 크로스오버 fast=30, slow=111 |
24.6% | -71.2% | 0.66 | 0.35 | 3.8x | 14 | 31% |
| Parabolic SAR step=0.04, maxStep=0.04 |
13.1% | -80.3% | 0.52 | 0.16 | 2.1x | 92 | 40% |
| MACD fast=15, slow=37, signal=24 |
-4.8% | -89.9% | 0.31 | -0.05 | 0.7x | 87 | 54% |
| Buy and hold | -19.5% | -98.6% | 0.28 | -0.20 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 21-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 21-day average