Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Cosmos backtest
10 trend-following strategies were compared on the full daily history of Cosmos. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 40.2%, MDD -38.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.0%, drawdown -96.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 64.3%, MDD -66.1%, Sharpe 1.07, 40% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 81.3%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 40.2%, MDD -38.3%, exposure 9%).
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=30, slow=38 |
64.3% | -66.1% | 1.07 | 0.97 | 17.5x | 59 | 40% |
| ADX / DI 방향성 period=9, threshold=45 |
40.2% | -38.3% | 1.05 | 1.05 | 7.0x | 28 | 9% |
| 볼린저 밴드 돌파 n=31, k=2.3 |
48.1% | -53.2% | 0.97 | 0.91 | 9.6x | 32 | 23% |
| ROC 모멘텀 n=33, threshold=0.08 |
50.1% | -58.7% | 0.96 | 0.85 | 10.4x | 89 | 30% |
| Supertrend period=8, mult=2.1 |
48.6% | -70.7% | 0.92 | 0.69 | 9.8x | 67 | 47% |
| Donchian 채널 돌파 entryN=36, exitN=12 |
42.3% | -49.9% | 0.88 | 0.85 | 7.6x | 24 | 27% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=10, mult=2.1 |
39.9% | -43.4% | 0.88 | 0.92 | 6.9x | 30 | 23% |
| EMA 크로스오버 fast=8, slow=12 |
41.9% | -67.5% | 0.85 | 0.62 | 7.5x | 105 | 42% |
| MACD fast=27, slow=47, signal=17 |
35.7% | -72.2% | 0.78 | 0.49 | 5.8x | 65 | 49% |
| Parabolic SAR step=0.01, maxStep=0.08 |
2.1% | -69.9% | 0.33 | 0.03 | 1.1x | 98 | 38% |
| Buy and hold | -17.0% | -96.7% | 0.25 | -0.18 | 0.3x | 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 30-day average price crosses above the 38-day average
- Sell — Sell (to cash) when the 30-day average falls below the 38-day average