Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
GRAM backtest
10 trend-following strategies were compared on the full daily history of GRAM. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 23.8%, MDD -32.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.0%, drawdown -85.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 36.5%, MDD -44.4%, Sharpe 0.86, 33% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 51.5%p higher than buy and hold, while drawdown improves by 40.9%p (CAGR 23.8%, MDD -32.8%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=23, slow=94 |
36.5% | -44.4% | 0.86 | 0.82 | 3.2x | 12 | 33% |
| 볼린저 밴드 돌파 n=33, k=3.5 |
26.4% | -35.4% | 0.85 | 0.75 | 2.4x | 4 | 6% |
| EMA 크로스오버 fast=32, slow=39 |
36.1% | -44.2% | 0.84 | 0.82 | 3.1x | 14 | 33% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=27, mult=3.8 |
23.8% | -32.8% | 0.77 | 0.73 | 2.2x | 6 | 7% |
| Donchian 채널 돌파 entryN=98, exitN=58 |
27.2% | -51.5% | 0.73 | 0.53 | 2.4x | 3 | 32% |
| ADX / DI 방향성 period=27, threshold=13 |
21.6% | -49.1% | 0.63 | 0.44 | 2.1x | 40 | 32% |
| Supertrend period=10, mult=4.1 |
19.5% | -67.9% | 0.59 | 0.29 | 1.9x | 16 | 45% |
| ROC 모멘텀 n=43, threshold=0.02 |
18.5% | -52.9% | 0.58 | 0.35 | 1.9x | 82 | 35% |
| MACD fast=25, slow=45, signal=37 |
17.2% | -65.1% | 0.56 | 0.26 | 1.8x | 29 | 43% |
| Parabolic SAR step=0.05, maxStep=0.16 |
-1.7% | -61.5% | 0.23 | -0.03 | 0.9x | 166 | 46% |
| Buy and hold | -15.0% | -85.3% | 0.16 | -0.18 | 0.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 23-day average price crosses above the 94-day average
- Sell — Sell (to cash) when the 23-day average falls below the 94-day average