Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
TRON backtest
10 trend-following strategies were compared on the full daily history of TRON. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 28.9%, MDD -52.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 26.3%, drawdown -83.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 48.5%, MDD -53.9%, Sharpe 0.88, 57% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 22.2%p higher than buy and hold, while drawdown improves by 29.2%p (CAGR 28.9%, MDD -52.9%, exposure 39%).
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=13, slow=55 |
48.5% | -53.9% | 0.88 | 0.90 | 25.8x | 53 | 57% |
| ROC 모멘텀 n=30, threshold=-0.11 |
48.0% | -67.6% | 0.87 | 0.71 | 25.1x | 121 | 81% |
| MACD fast=18, slow=48, signal=23 |
46.4% | -56.0% | 0.86 | 0.83 | 23.0x | 101 | 54% |
| Donchian 채널 돌파 entryN=14, exitN=45 |
39.7% | -66.4% | 0.79 | 0.60 | 15.7x | 31 | 78% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=22, mult=1.1 |
32.8% | -57.0% | 0.72 | 0.58 | 10.3x | 69 | 45% |
| 볼린저 밴드 돌파 n=40, k=1.8 |
28.9% | -52.9% | 0.68 | 0.55 | 8.1x | 65 | 39% |
| EMA 크로스오버 fast=10, slow=33 |
28.9% | -65.5% | 0.68 | 0.44 | 8.1x | 97 | 56% |
| Supertrend period=13, mult=2.6 |
25.2% | -65.0% | 0.63 | 0.39 | 6.3x | 71 | 49% |
| Parabolic SAR step=0.045, maxStep=0.16 |
17.8% | -58.5% | 0.54 | 0.30 | 3.8x | 342 | 52% |
| ADX / DI 방향성 period=34, threshold=7 |
11.5% | -80.6% | 0.48 | 0.14 | 2.4x | 113 | 57% |
| Buy and hold | 26.3% | -83.1% | 0.69 | 0.32 | 6.8x | 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 13-day average price crosses above the 55-day average
- Sell — Sell (to cash) when the 13-day average falls below the 55-day average