Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Stacks backtest
10 trend-following strategies were compared on the full daily history of Stacks. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 67.3%, MDD -21.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -23.4%, drawdown -96.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 67.3%, MDD -21.6%, Sharpe 1.42, 9% exposure.
CAGR reference leader: Supertrend — CAGR 69.9%, MDD -55.0%, exposure 33%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 90.7%p higher than buy and hold, while drawdown improves by 75.2%p (CAGR 67.3%, MDD -21.6%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=15, k=3 |
67.3% | -21.6% | 1.42 | 3.11 | 5.4x | 9 | 9% |
| ADX / DI 방향성 period=33, threshold=24 |
58.8% | -33.8% | 1.19 | 1.74 | 4.6x | 9 | 14% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=24, mult=1.8 |
66.0% | -29.1% | 1.15 | 2.27 | 5.3x | 21 | 23% |
| Supertrend period=23, mult=2.5 |
69.9% | -55.0% | 1.12 | 1.27 | 5.7x | 29 | 33% |
| Donchian 채널 돌파 entryN=104, exitN=20 |
50.2% | -36.7% | 1.01 | 1.37 | 3.8x | 4 | 18% |
| EMA 크로스오버 fast=42, slow=69 |
48.8% | -53.5% | 0.96 | 0.91 | 3.7x | 7 | 24% |
| SMA 크로스오버 fast=23, slow=147 |
40.5% | -53.2% | 0.85 | 0.76 | 3.0x | 6 | 26% |
| ROC 모멘텀 n=93, threshold=0.12 |
39.4% | -54.8% | 0.85 | 0.72 | 3.0x | 18 | 22% |
| MACD fast=36, slow=70, signal=4 |
39.7% | -71.6% | 0.81 | 0.55 | 3.0x | 55 | 48% |
| Parabolic SAR step=0.025, maxStep=0.26 |
-12.5% | -81.4% | 0.12 | -0.15 | 0.6x | 120 | 44% |
| Buy and hold | -23.4% | -96.8% | 0.18 | -0.24 | 0.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 15-day average (3× volatility)
- Sell — Sell when the close falls back to the 15-day middle average