Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Chainlink backtest
10 trend-following strategies were compared on the full daily history of Chainlink. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 73.1%, MDD -59.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 57.6%, drawdown -89.3%).
Sharpe leader (same as main): Supertrend — CAGR 100.6%, MDD -60.7%, Sharpe 1.13, 48% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 43.0%p higher than buy and hold, while drawdown improves by 28.6%p (CAGR 73.1%, MDD -59.9%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=10, mult=1.7 |
100.6% | -60.7% | 1.13 | 1.66 | 252.8x | 131 | 48% |
| ROC 모멘텀 n=21, threshold=-0.04 |
99.0% | -70.0% | 1.12 | 1.41 | 237.3x | 221 | 61% |
| MACD fast=19, slow=44, signal=18 |
95.2% | -78.1% | 1.10 | 1.22 | 203.8x | 113 | 52% |
| ADX / DI 방향성 period=16, threshold=17 |
90.8% | -77.5% | 1.08 | 1.17 | 169.5x | 125 | 44% |
| EMA 크로스오버 fast=4, slow=27 |
85.5% | -66.6% | 1.04 | 1.28 | 135.6x | 139 | 52% |
| Donchian 채널 돌파 entryN=7, exitN=20 |
83.5% | -80.4% | 1.03 | 1.04 | 124.6x | 77 | 73% |
| 볼린저 밴드 돌파 n=29, k=1.1 |
81.7% | -75.7% | 1.02 | 1.08 | 115.0x | 115 | 42% |
| Parabolic SAR step=0.01, maxStep=0.14 |
73.1% | -59.9% | 1.01 | 1.22 | 78.3x | 137 | 47% |
| SMA 크로스오버 fast=8, slow=35 |
75.7% | -79.4% | 0.99 | 0.95 | 88.2x | 91 | 53% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=12, mult=1.2 |
56.1% | -78.1% | 0.86 | 0.72 | 34.5x | 115 | 37% |
| Buy and hold | 57.6% | -89.3% | 0.91 | 0.65 | 37.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 10-day volatility, 1.7× band
- Sell — Sell when price drops below the trend line (flips down)