Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
LDO backtest
10 trend-following strategies were compared on the full daily history of LDO. 9 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 16.6%, MDD -47.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -36.6%, drawdown -95.1%).
Sharpe leader (same as main): MACD — CAGR 48.7%, MDD -75.6%, Sharpe 0.87, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 85.4%p higher than buy and hold, while drawdown improves by 19.5%p (CAGR 16.6%, MDD -47.4%, 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 |
|---|---|---|---|---|---|---|---|
| MACD fast=23, slow=60, signal=24 |
48.7% | -75.6% | 0.87 | 0.64 | 6.6x | 43 | 48% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=15, mult=1.7 |
26.8% | -52.5% | 0.70 | 0.51 | 3.1x | 38 | 13% |
| 볼린저 밴드 돌파 n=50, k=3 |
16.6% | -47.4% | 0.55 | 0.35 | 2.1x | 16 | 19% |
| Donchian 채널 돌파 entryN=35, exitN=34 |
10.1% | -65.9% | 0.53 | 0.15 | 1.6x | 17 | 49% |
| ADX / DI 방향성 period=10, threshold=30 |
11.6% | -72.9% | 0.47 | 0.16 | 1.7x | 51 | 19% |
| Supertrend period=11, mult=2.5 |
-0.1% | -87.6% | 0.41 | -0.00 | 1.0x | 47 | 39% |
| ROC 모멘텀 n=31, threshold=-0.02 |
-1.6% | -82.3% | 0.38 | -0.02 | 0.9x | 150 | 43% |
| SMA 크로스오버 fast=21, slow=45 |
-0.8% | -71.3% | 0.38 | -0.01 | 1.0x | 38 | 38% |
| EMA 크로스오버 fast=27, slow=57 |
-13.2% | -68.1% | 0.20 | -0.19 | 0.5x | 19 | 36% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-36.8% | -97.9% | -0.14 | -0.38 | 0.1x | 124 | 43% |
| Buy and hold | -36.6% | -95.1% | 0.24 | -0.39 | 0.1x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (23/60) crosses above its 24-day signal line
- Sell — Sell when the MACD line crosses back below the signal line