Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Polkadot backtest
10 trend-following strategies were compared on the full daily history of Polkadot. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 76.4%, MDD -32.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -19.9%, drawdown -98.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 76.4%, MDD -32.7%, Sharpe 1.47, 15% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 96.3%p higher than buy and hold, while drawdown improves by 65.7%p (CAGR 76.4%, MDD -32.7%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=20, threshold=29 |
76.4% | -32.7% | 1.47 | 2.34 | 28.4x | 18 | 15% |
| 볼린저 밴드 돌파 n=52, k=2.7 |
64.3% | -40.8% | 1.24 | 1.58 | 18.7x | 12 | 17% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=29, mult=3 |
63.9% | -35.2% | 1.24 | 1.82 | 18.4x | 12 | 18% |
| ROC 모멘텀 n=40, threshold=0.03 |
64.5% | -63.0% | 1.16 | 1.02 | 18.9x | 92 | 34% |
| Donchian 채널 돌파 entryN=53, exitN=9 |
55.0% | -56.9% | 1.14 | 0.97 | 13.3x | 22 | 17% |
| Supertrend period=14, mult=2.8 |
60.8% | -74.5% | 1.09 | 0.82 | 16.5x | 44 | 38% |
| EMA 크로스오버 fast=30, slow=76 |
42.4% | -62.4% | 0.89 | 0.68 | 8.0x | 12 | 29% |
| SMA 크로스오버 fast=10, slow=42 |
42.9% | -67.9% | 0.89 | 0.63 | 8.2x | 53 | 38% |
| MACD fast=21, slow=59, signal=17 |
28.5% | -75.5% | 0.71 | 0.38 | 4.4x | 71 | 52% |
| Parabolic SAR step=0.005, maxStep=0.18 |
12.0% | -75.6% | 0.46 | 0.16 | 2.0x | 61 | 36% |
| Buy and hold | -19.9% | -98.4% | 0.29 | -0.20 | 0.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 20-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)