Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
XLM backtest
10 trend-following strategies were compared on the full daily history of XLM. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 33.1%, MDD -23.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.4%, drawdown -83.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 36.9%, MDD -28.5%, Sharpe 0.86, 4% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 53.3%p higher than buy and hold, while drawdown improves by 55.1%p (CAGR 33.1%, MDD -23.9%, exposure 3%).
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=10, atrPeriod=18, mult=3 |
36.9% | -28.5% | 0.86 | 1.30 | 4.8x | 12 | 4% |
| Donchian 채널 돌파 entryN=68, exitN=1 |
33.1% | -23.9% | 0.82 | 1.39 | 4.2x | 16 | 3% |
| 볼린저 밴드 돌파 n=35, k=2.9 |
34.2% | -34.4% | 0.75 | 0.99 | 4.3x | 14 | 10% |
| Supertrend period=29, mult=5 |
20.5% | -52.6% | 0.57 | 0.39 | 2.5x | 15 | 35% |
| ADX / DI 방향성 period=11, threshold=36 |
17.9% | -63.1% | 0.53 | 0.28 | 2.3x | 31 | 11% |
| ROC 모멘텀 n=111, threshold=-0.04 |
12.8% | -56.9% | 0.48 | 0.23 | 1.8x | 61 | 41% |
| MACD fast=13, slow=15, signal=8 |
11.1% | -68.9% | 0.46 | 0.16 | 1.7x | 150 | 50% |
| EMA 크로스오버 fast=19, slow=110 |
5.8% | -68.2% | 0.37 | 0.09 | 1.3x | 16 | 29% |
| SMA 크로스오버 fast=27, slow=143 |
-0.2% | -74.5% | 0.27 | -0.00 | 1.0x | 16 | 30% |
| Parabolic SAR step=0.045, maxStep=0.26 |
-8.3% | -84.9% | 0.16 | -0.10 | 0.6x | 228 | 43% |
| Buy and hold | -16.4% | -83.6% | 0.21 | -0.20 | 0.4x | 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 10-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 10-day average