Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
INJ backtest
10 trend-following strategies were compared on the full daily history of INJ. 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 73.0%, MDD -42.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 31.2%, drawdown -94.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 111.4%, MDD -45.3%, Sharpe 1.33, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 80.2%p higher than buy and hold, while drawdown improves by 49.5%p (CAGR 73.0%, MDD -42.7%, exposure 19%).
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=26, slow=98 |
111.4% | -45.3% | 1.33 | 2.46 | 19.3x | 12 | 49% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=21, mult=2.9 |
73.0% | -42.7% | 1.21 | 1.71 | 8.7x | 12 | 19% |
| Donchian 채널 돌파 entryN=61, exitN=71 |
85.5% | -71.6% | 1.15 | 1.19 | 11.5x | 7 | 55% |
| ROC 모멘텀 n=120, threshold=0.05 |
79.1% | -70.2% | 1.14 | 1.13 | 10.0x | 39 | 45% |
| Supertrend period=9, mult=5 |
83.9% | -75.3% | 1.12 | 1.11 | 11.1x | 7 | 67% |
| ADX / DI 방향성 period=40, threshold=13 |
73.3% | -49.0% | 1.11 | 1.50 | 8.8x | 21 | 38% |
| 볼린저 밴드 돌파 n=43, k=2.6 |
65.8% | -48.4% | 1.09 | 1.36 | 7.4x | 20 | 27% |
| EMA 크로스오버 fast=11, slow=99 |
65.1% | -70.9% | 1.02 | 0.92 | 7.3x | 19 | 46% |
| Parabolic SAR step=0.005, maxStep=0.32 |
42.9% | -77.3% | 0.84 | 0.56 | 4.1x | 39 | 44% |
| MACD fast=11, slow=49, signal=17 |
36.5% | -87.8% | 0.78 | 0.42 | 3.4x | 63 | 51% |
| Buy and hold | 31.2% | -94.7% | 0.79 | 0.33 | 2.9x | 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 26-day average price crosses above the 98-day average
- Sell — Sell (to cash) when the 26-day average falls below the 98-day average