Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Stellar backtest
10 trend-following strategies were compared on the full daily history of Stellar. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 63.9%, MDD -43.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.6%, drawdown -89.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 76.8%, MDD -45.7%, Sharpe 1.18, 22% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 78.4%p higher than buy and hold, while drawdown improves by 44.3%p (CAGR 63.9%, MDD -43.5%, exposure 20%).
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=7, k=1.8 |
76.8% | -45.7% | 1.18 | 1.68 | 84.8x | 190 | 22% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=8, mult=0.8 |
63.9% | -43.5% | 1.07 | 1.47 | 47.0x | 152 | 20% |
| MACD fast=13, slow=51, signal=7 |
60.1% | -57.2% | 0.98 | 1.05 | 39.1x | 157 | 47% |
| Parabolic SAR step=0.025, maxStep=0.28 |
57.3% | -65.1% | 0.96 | 0.88 | 34.1x | 224 | 44% |
| ROC 모멘텀 n=7, threshold=0.05 |
51.2% | -57.5% | 0.92 | 0.89 | 25.1x | 312 | 24% |
| ADX / DI 방향성 period=6, threshold=29 |
47.2% | -75.2% | 0.87 | 0.63 | 20.4x | 236 | 33% |
| SMA 크로스오버 fast=4, slow=11 |
46.2% | -62.4% | 0.86 | 0.74 | 19.3x | 270 | 42% |
| EMA 크로스오버 fast=5, slow=42 |
38.3% | -65.1% | 0.78 | 0.59 | 12.5x | 88 | 41% |
| Donchian 채널 돌파 entryN=24, exitN=32 |
37.4% | -70.2% | 0.77 | 0.53 | 11.9x | 41 | 55% |
| Supertrend period=31, mult=1.5 |
32.4% | -68.3% | 0.72 | 0.48 | 8.9x | 156 | 34% |
| Buy and hold | -1.6% | -89.9% | 0.42 | -0.02 | 0.9x | 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 7-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 7-day middle average