Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
BONK backtest
10 trend-following strategies were compared on the full daily history of BONK. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 262.1%, MDD -36.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.8%, drawdown -95.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 262.1%, MDD -36.5%, Sharpe 1.68, 10% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 265.9%p higher than buy and hold, while drawdown improves by 59.3%p (CAGR 262.1%, MDD -36.5%, exposure 10%).
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=12, atrPeriod=23, mult=3 |
262.1% | -36.5% | 1.68 | 7.17 | 110.3x | 12 | 10% |
| 볼린저 밴드 돌파 n=20, k=2.2 |
243.0% | -55.6% | 1.56 | 4.37 | 90.5x | 35 | 21% |
| MACD fast=17, slow=73, signal=14 |
256.1% | -72.5% | 1.53 | 3.53 | 103.7x | 43 | 50% |
| Supertrend period=18, mult=2.6 |
223.8% | -65.1% | 1.48 | 3.44 | 73.3x | 29 | 33% |
| Donchian 채널 돌파 entryN=42, exitN=7 |
195.5% | -63.7% | 1.45 | 3.07 | 52.5x | 20 | 15% |
| ROC 모멘텀 n=31, threshold=0.08 |
198.2% | -68.7% | 1.42 | 2.89 | 54.2x | 64 | 30% |
| SMA 크로스오버 fast=48, slow=111 |
191.3% | -68.6% | 1.40 | 2.79 | 49.8x | 8 | 38% |
| EMA 크로스오버 fast=6, slow=53 |
176.5% | -65.5% | 1.36 | 2.70 | 41.1x | 26 | 32% |
| Parabolic SAR step=0.04, maxStep=0.34 |
166.2% | -78.3% | 1.32 | 2.12 | 35.8x | 154 | 41% |
| ADX / DI 방향성 period=12, threshold=11 |
118.9% | -74.7% | 1.17 | 1.59 | 17.5x | 101 | 46% |
| Buy and hold | -3.8% | -95.8% | 0.73 | -0.04 | 0.9x | 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 12-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average