Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Dogecoin backtest
10 trend-following strategies were compared on the full daily history of Dogecoin. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 26.3%, MDD -46.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -28.3%, drawdown -89.5%).
Sharpe leader (same as main): MACD — CAGR 49.3%, MDD -70.0%, Sharpe 0.93, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 77.6%p higher than buy and hold, while drawdown improves by 19.5%p (CAGR 26.3%, MDD -46.8%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=21, slow=49, signal=20 |
49.3% | -70.0% | 0.93 | 0.70 | 8.4x | 55 | 51% |
| 볼린저 밴드 돌파 n=34, k=2.1 |
40.9% | -52.4% | 0.91 | 0.78 | 6.2x | 33 | 24% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=26, mult=4 |
26.3% | -46.8% | 0.76 | 0.56 | 3.4x | 13 | 11% |
| ROC 모멘텀 n=21, threshold=0.01 |
31.0% | -58.1% | 0.74 | 0.53 | 4.2x | 125 | 39% |
| SMA 크로스오버 fast=12, slow=32 |
28.6% | -58.1% | 0.71 | 0.49 | 3.8x | 57 | 40% |
| ADX / DI 방향성 period=13, threshold=10 |
27.0% | -61.0% | 0.68 | 0.44 | 3.6x | 115 | 47% |
| Donchian 채널 돌파 entryN=28, exitN=18 |
26.1% | -58.6% | 0.68 | 0.45 | 3.4x | 29 | 33% |
| Supertrend period=16, mult=1.6 |
26.0% | -65.1% | 0.67 | 0.40 | 3.4x | 84 | 41% |
| EMA 크로스오버 fast=14, slow=22 |
19.4% | -57.7% | 0.58 | 0.34 | 2.6x | 53 | 39% |
| Parabolic SAR step=0.05, maxStep=0.16 |
14.5% | -71.0% | 0.51 | 0.20 | 2.1x | 216 | 44% |
| Buy and hold | -28.3% | -89.5% | 0.03 | -0.32 | 0.2x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (21/49) crosses above its 20-day signal line
- Sell — Sell when the MACD line crosses back below the signal line