Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
PEPE backtest
10 trend-following strategies were compared on the full daily history of PEPE. 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 132.4%, MDD -37.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 9.4%, drawdown -91.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 132.4%, MDD -37.7%, Sharpe 1.37, 24% exposure.
CAGR reference leader: MACD — CAGR 133.1%, MDD -56.8%, exposure 48%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 123.0%p higher than buy and hold, while drawdown improves by 53.6%p (CAGR 132.4%, MDD -37.7%, exposure 24%).
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=18, k=2.1 |
132.4% | -37.7% | 1.37 | 3.52 | 16.5x | 39 | 24% |
| MACD fast=17, slow=58, signal=14 |
133.1% | -56.8% | 1.29 | 2.34 | 16.6x | 43 | 48% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=12, mult=1.5 |
108.8% | -46.3% | 1.25 | 2.35 | 11.5x | 32 | 25% |
| Parabolic SAR step=0.045, maxStep=0.1 |
109.5% | -62.6% | 1.19 | 1.75 | 11.7x | 108 | 43% |
| ROC 모멘텀 n=30, threshold=-0.01 |
103.5% | -56.4% | 1.16 | 1.83 | 10.6x | 77 | 42% |
| Supertrend period=26, mult=2.4 |
95.8% | -59.6% | 1.13 | 1.61 | 9.3x | 32 | 36% |
| ADX / DI 방향성 period=20, threshold=11 |
79.0% | -75.5% | 1.04 | 1.05 | 6.9x | 57 | 44% |
| SMA 크로스오버 fast=7, slow=50 |
71.0% | -71.7% | 0.99 | 0.99 | 5.9x | 29 | 42% |
| EMA 크로스오버 fast=19, slow=21 |
67.4% | -69.8% | 0.97 | 0.97 | 5.5x | 29 | 40% |
| Donchian 채널 돌파 entryN=11, exitN=61 |
60.9% | -78.1% | 0.95 | 0.78 | 4.8x | 15 | 74% |
| Buy and hold | 9.4% | -91.2% | 0.70 | 0.10 | 1.3x | 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 18-day average (2.1× volatility)
- Sell — Sell when the close falls back to the 18-day middle average