Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Chainlink backtest
10 trend-following strategies were compared on the full daily history of Chainlink. 5 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 65.5%, MDD -70.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 50.9%, drawdown -90.2%).
Sharpe leader (same as main): MACD — CAGR 77.2%, MDD -72.2%, Sharpe 1.13, 52% exposure.
Return/drawdown alternative: Supertrend — CAGR is 26.3%p higher than buy and hold, while drawdown improves by 18.0%p (CAGR 65.5%, MDD -70.9%, exposure 49%).
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=20, slow=33, signal=17 |
77.2% | -72.2% | 1.13 | 1.07 | 78.3x | 111 | 52% |
| Supertrend period=9, mult=1.9 |
65.5% | -70.9% | 1.02 | 0.92 | 46.6x | 109 | 49% |
| 볼린저 밴드 돌파 n=35, k=1.2 |
61.6% | -80.6% | 1.00 | 0.76 | 38.9x | 93 | 41% |
| ADX / DI 방향성 period=12, threshold=18 |
56.9% | -71.4% | 0.96 | 0.80 | 31.0x | 187 | 40% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=16, mult=1.4 |
54.3% | -72.9% | 0.94 | 0.75 | 27.3x | 71 | 36% |
| ROC 모멘텀 n=31, threshold=0.1 |
48.9% | -81.5% | 0.89 | 0.60 | 20.8x | 189 | 37% |
| SMA 크로스오버 fast=33, slow=66 |
48.6% | -80.0% | 0.88 | 0.61 | 20.5x | 49 | 52% |
| Parabolic SAR step=0.01, maxStep=0.16 |
41.3% | -76.0% | 0.84 | 0.54 | 14.0x | 131 | 46% |
| EMA 크로스오버 fast=55, slow=103 |
39.4% | -83.6% | 0.81 | 0.47 | 12.6x | 23 | 50% |
| Donchian 채널 돌파 entryN=103, exitN=8 |
34.5% | -47.9% | 0.80 | 0.72 | 9.6x | 29 | 16% |
| Buy and hold | 50.9% | -90.2% | 0.92 | 0.56 | 23.0x | 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 (20/33) crosses above its 17-day signal line
- Sell — Sell when the MACD line crosses back below the signal line