Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
The Sandbox backtest
10 trend-following strategies were compared on the full daily history of The Sandbox. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 120.8%, MDD -45.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.2%, drawdown -99.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 127.6%, MDD -54.8%, Sharpe 1.39, 20% exposure.
CAGR reference leader: Supertrend — CAGR 146.0%, MDD -65.8%, exposure 24%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 127.4%p higher than buy and hold, while drawdown improves by 44.7%p (CAGR 120.8%, MDD -45.1%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=23, mult=2.1 |
127.6% | -54.8% | 1.39 | 2.33 | 118.2x | 20 | 20% |
| 볼린저 밴드 돌파 n=46, k=3.1 |
120.8% | -45.1% | 1.38 | 2.68 | 98.9x | 12 | 18% |
| ROC 모멘텀 n=33, threshold=0.13 |
116.2% | -62.1% | 1.32 | 1.87 | 87.7x | 70 | 24% |
| Donchian 채널 돌파 entryN=50, exitN=15 |
106.8% | -59.2% | 1.27 | 1.80 | 67.7x | 14 | 25% |
| Supertrend period=34, mult=4.1 |
146.0% | -65.8% | 1.27 | 2.22 | 185.2x | 20 | 24% |
| SMA 크로스오버 fast=24, slow=82 |
105.3% | -74.6% | 1.24 | 1.41 | 64.9x | 18 | 34% |
| ADX / DI 방향성 period=30, threshold=14 |
127.5% | -68.2% | 1.19 | 1.87 | 117.8x | 48 | 31% |
| EMA 크로스오버 fast=8, slow=80 |
94.4% | -68.0% | 1.17 | 1.39 | 47.3x | 26 | 30% |
| MACD fast=16, slow=68, signal=15 |
87.7% | -81.5% | 1.12 | 1.08 | 38.6x | 78 | 50% |
| Parabolic SAR step=0.07, maxStep=0.12 |
61.3% | -84.0% | 0.86 | 0.73 | 16.0x | 242 | 42% |
| Buy and hold | 0.2% | -99.5% | 0.56 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 40-day average + 2.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 40-day average