Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Stacks backtest
10 trend-following strategies were compared on the full daily history of Stacks. 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 71.8%, MDD -57.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.8%, drawdown -96.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 71.8%, MDD -57.2%, Sharpe 0.98, 26% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 77.6%p higher than buy and hold, while drawdown improves by 39.5%p (CAGR 71.8%, MDD -57.2%, exposure 26%).
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=61, k=2.4 |
71.8% | -57.2% | 0.98 | 1.26 | 40.8x | 21 | 26% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=27, mult=1.4 |
68.8% | -70.6% | 0.95 | 0.97 | 36.0x | 43 | 32% |
| SMA 크로스오버 fast=34, slow=140 |
62.6% | -72.9% | 0.92 | 0.86 | 27.9x | 18 | 38% |
| Donchian 채널 돌파 entryN=105, exitN=34 |
62.0% | -66.6% | 0.91 | 0.93 | 27.3x | 10 | 29% |
| Supertrend period=21, mult=4.1 |
62.1% | -83.5% | 0.91 | 0.74 | 27.3x | 27 | 44% |
| EMA 크로스오버 fast=16, slow=130 |
56.6% | -68.7% | 0.88 | 0.82 | 21.6x | 17 | 36% |
| ROC 모멘텀 n=141, threshold=0 |
55.2% | -80.3% | 0.87 | 0.69 | 20.3x | 59 | 44% |
| ADX / DI 방향성 period=34, threshold=16 |
45.0% | -73.4% | 0.81 | 0.61 | 12.7x | 43 | 38% |
| MACD fast=19, slow=46, signal=9 |
28.0% | -90.2% | 0.70 | 0.31 | 5.4x | 123 | 54% |
| Parabolic SAR step=0.05, maxStep=0.18 |
11.7% | -86.2% | 0.55 | 0.14 | 2.1x | 332 | 46% |
| Buy and hold | -5.8% | -96.7% | 0.56 | -0.06 | 0.7x | 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 61-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 61-day middle average