Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
ARB backtest
10 trend-following strategies were compared on the full daily history of ARB. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 19.6%, MDD -23.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -51.5%, drawdown -96.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.6%, MDD -23.0%, Sharpe 0.75, 5% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 71.1%p higher than buy and hold, while drawdown improves by 73.8%p (CAGR 19.6%, MDD -23.0%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=93, exitN=3 |
19.6% | -23.0% | 0.75 | 0.85 | 1.9x | 8 | 5% |
| 볼린저 밴드 돌파 n=64, k=2 |
15.3% | -61.5% | 0.53 | 0.25 | 1.6x | 11 | 23% |
| SMA 크로스오버 fast=15, slow=48 |
14.0% | -52.9% | 0.51 | 0.26 | 1.6x | 23 | 36% |
| EMA 크로스오버 fast=26, slow=64 |
10.9% | -55.0% | 0.45 | 0.20 | 1.4x | 13 | 28% |
| Supertrend period=21, mult=2.8 |
10.5% | -57.4% | 0.45 | 0.18 | 1.4x | 27 | 32% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=9, mult=2 |
9.0% | -65.4% | 0.41 | 0.14 | 1.3x | 15 | 22% |
| ADX / DI 방향성 period=17, threshold=36 |
5.3% | -24.9% | 0.39 | 0.21 | 1.2x | 6 | 2% |
| ROC 모멘텀 n=59, threshold=0.06 |
3.4% | -72.3% | 0.33 | 0.05 | 1.1x | 49 | 31% |
| Parabolic SAR step=0.025, maxStep=0.16 |
-2.2% | -73.0% | 0.27 | -0.03 | 0.9x | 100 | 48% |
| MACD fast=14, slow=59, signal=16 |
-12.0% | -69.0% | 0.12 | -0.17 | 0.6x | 49 | 50% |
| Buy and hold | -51.5% | -96.8% | -0.36 | -0.53 | 0.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 93 days
- Sell — Sell when price breaks below the lowest low of the last 3 days