Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Algorand backtest
10 trend-following strategies were compared on the full daily history of Algorand. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 53.3%, MDD -35.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.3%, drawdown -96.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 61.5%, MDD -47.4%, Sharpe 1.09, 17% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 78.8%p higher than buy and hold, while drawdown improves by 48.6%p (CAGR 53.3%, MDD -35.5%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=35, exitN=7 |
61.5% | -47.4% | 1.09 | 1.30 | 18.5x | 30 | 17% |
| 볼린저 밴드 돌파 n=46, k=3.5 |
53.3% | -35.5% | 1.05 | 1.50 | 13.5x | 12 | 15% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=18, mult=2.8 |
48.0% | -59.8% | 0.95 | 0.80 | 10.9x | 20 | 18% |
| ROC 모멘텀 n=44, threshold=0.11 |
45.6% | -49.5% | 0.89 | 0.92 | 9.8x | 76 | 27% |
| MACD fast=19, slow=81, signal=26 |
46.1% | -83.4% | 0.87 | 0.55 | 10.1x | 47 | 51% |
| ADX / DI 방향성 period=19, threshold=12 |
38.0% | -79.5% | 0.79 | 0.48 | 7.1x | 95 | 40% |
| SMA 크로스오버 fast=29, slow=51 |
36.8% | -72.3% | 0.78 | 0.51 | 6.7x | 38 | 37% |
| EMA 크로스오버 fast=6, slow=61 |
32.8% | -66.8% | 0.74 | 0.49 | 5.6x | 44 | 33% |
| Parabolic SAR step=0.005, maxStep=0.26 |
26.5% | -80.7% | 0.67 | 0.33 | 4.2x | 59 | 33% |
| Supertrend period=22, mult=4.8 |
25.3% | -65.2% | 0.66 | 0.39 | 3.9x | 18 | 37% |
| Buy and hold | -17.3% | -96.0% | 0.28 | -0.18 | 0.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 35 days
- Sell — Sell when price breaks below the lowest low of the last 7 days