Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
XRP backtest
10 trend-following strategies were compared on the full daily history of XRP. 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 116.6%, MDD -37.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 20.8%, drawdown -96.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 116.6%, MDD -37.9%, Sharpe 1.32, 25% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 95.8%p higher than buy and hold, while drawdown improves by 58.0%p (CAGR 116.6%, MDD -37.9%, exposure 25%).
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=10, k=2 |
116.6% | -37.9% | 1.32 | 3.07 | 1278.4x | 174 | 25% |
| MACD fast=10, slow=71, signal=8 |
111.7% | -63.9% | 1.25 | 1.75 | 1032.1x | 199 | 48% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=8, mult=1.5 |
93.0% | -48.4% | 1.22 | 1.92 | 438.2x | 86 | 13% |
| Donchian 채널 돌파 entryN=60, exitN=3 |
64.0% | -55.4% | 1.13 | 1.16 | 97.5x | 42 | 8% |
| ROC 모멘텀 n=6, threshold=0.09 |
80.2% | -62.8% | 1.10 | 1.28 | 232.7x | 270 | 15% |
| ADX / DI 방향성 period=8, threshold=26 |
78.0% | -59.2% | 1.06 | 1.32 | 207.4x | 217 | 35% |
| Supertrend period=8, mult=2.8 |
72.8% | -56.3% | 1.02 | 1.29 | 157.6x | 75 | 42% |
| SMA 크로스오버 fast=1, slow=12 |
73.3% | -71.5% | 1.01 | 1.02 | 161.8x | 468 | 44% |
| EMA 크로스오버 fast=5, slow=21 |
70.3% | -55.4% | 1.00 | 1.27 | 138.1x | 159 | 41% |
| Parabolic SAR step=0.02, maxStep=0.12 |
46.1% | -76.7% | 0.82 | 0.60 | 33.4x | 217 | 43% |
| Buy and hold | 20.8% | -96.0% | 0.68 | 0.22 | 5.7x | 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 10-day average (2× volatility)
- Sell — Sell when the close falls back to the 10-day middle average