Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Cardano backtest
10 trend-following strategies were compared on the full daily history of Cardano. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 91.6%, MDD -35.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.4%, drawdown -93.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 87.8%, MDD -37.1%, Sharpe 1.52, 18% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 91.6%, MDD -35.7%, exposure 23%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 82.4%p higher than buy and hold, while drawdown improves by 56.6%p (CAGR 91.6%, MDD -35.7%, exposure 23%).
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=31, k=3 |
87.8% | -37.1% | 1.52 | 2.37 | 177.6x | 24 | 18% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=16, mult=2.3 |
91.6% | -35.7% | 1.45 | 2.56 | 208.9x | 38 | 23% |
| Donchian 채널 돌파 entryN=33, exitN=4 |
77.3% | -48.4% | 1.38 | 1.60 | 110.4x | 54 | 18% |
| SMA 크로스오버 fast=7, slow=58 |
84.7% | -56.0% | 1.28 | 1.51 | 154.5x | 61 | 39% |
| EMA 크로스오버 fast=10, slow=66 |
77.3% | -56.7% | 1.21 | 1.36 | 110.3x | 41 | 36% |
| ROC 모멘텀 n=49, threshold=0.09 |
70.5% | -66.6% | 1.17 | 1.06 | 80.3x | 107 | 32% |
| MACD fast=24, slow=53, signal=2 |
72.8% | -79.9% | 1.11 | 0.91 | 89.3x | 220 | 51% |
| Parabolic SAR step=0.01, maxStep=0.12 |
55.8% | -79.9% | 1.01 | 0.70 | 38.1x | 126 | 43% |
| Supertrend period=13, mult=1.9 |
51.1% | -84.2% | 0.95 | 0.61 | 29.7x | 112 | 42% |
| ADX / DI 방향성 period=33, threshold=21 |
39.5% | -43.3% | 0.91 | 0.91 | 15.5x | 38 | 21% |
| Buy and hold | 5.4% | -93.7% | 0.50 | 0.06 | 1.5x | 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 31-day average (3× volatility)
- Sell — Sell when the close falls back to the 31-day middle average