Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
TRON backtest
10 trend-following strategies were compared on the full daily history of TRON. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 34.1%, MDD -47.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 32.9%, drawdown -88.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 55.4%, MDD -56.6%, Sharpe 1.01, 63% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 55.9%, MDD -58.9%, exposure 83%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 22.5%p higher than buy and hold, while drawdown improves by 31.5%p (CAGR 34.1%, MDD -47.3%, exposure 32%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=10, exitN=21 |
55.4% | -56.6% | 1.01 | 0.98 | 40.6x | 58 | 63% |
| ROC 모멘텀 n=27, threshold=-0.12 |
55.9% | -58.9% | 1.00 | 0.95 | 41.8x | 103 | 83% |
| MACD fast=26, slow=35, signal=24 |
48.6% | -54.8% | 0.97 | 0.89 | 27.8x | 93 | 53% |
| 볼린저 밴드 돌파 n=32, k=1.5 |
43.7% | -58.7% | 0.94 | 0.75 | 21.1x | 82 | 39% |
| Supertrend period=10, mult=4.7 |
48.1% | -56.5% | 0.94 | 0.85 | 27.1x | 26 | 59% |
| Parabolic SAR step=0.035, maxStep=0.04 |
40.6% | -49.8% | 0.92 | 0.81 | 17.5x | 138 | 50% |
| EMA 크로스오버 fast=12, slow=15 |
42.0% | -51.3% | 0.88 | 0.82 | 19.1x | 114 | 55% |
| SMA 크로스오버 fast=13, slow=36 |
40.2% | -59.4% | 0.87 | 0.68 | 17.1x | 76 | 54% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=13, mult=2.1 |
34.1% | -47.3% | 0.83 | 0.72 | 11.7x | 54 | 32% |
| ADX / DI 방향성 period=34, threshold=14 |
21.2% | -63.3% | 0.61 | 0.33 | 5.0x | 76 | 48% |
| Buy and hold | 32.9% | -88.1% | 0.75 | 0.37 | 10.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 10 days
- Sell — Sell when price breaks below the lowest low of the last 21 days