Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
NEAR backtest
10 trend-following strategies were compared on the full daily history of NEAR. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 84.9%, MDD -50.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 10.1%, drawdown -95.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 99.8%, MDD -75.1%, Sharpe 1.22, 35% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 89.7%p higher than buy and hold, while drawdown improves by 20.2%p (CAGR 84.9%, MDD -50.2%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=29, threshold=0.09 |
99.8% | -75.1% | 1.22 | 1.33 | 53.2x | 105 | 35% |
| ADX / DI 방향성 period=11, threshold=25 |
84.9% | -50.2% | 1.14 | 1.69 | 34.2x | 87 | 33% |
| 볼린저 밴드 돌파 n=38, k=1.4 |
61.9% | -68.5% | 0.97 | 0.90 | 15.9x | 53 | 34% |
| Supertrend period=21, mult=2.3 |
54.5% | -67.3% | 0.92 | 0.81 | 12.2x | 67 | 38% |
| EMA 크로스오버 fast=14, slow=29 |
46.1% | -80.2% | 0.85 | 0.57 | 8.8x | 53 | 44% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=23, mult=1.9 |
44.4% | -59.1% | 0.84 | 0.75 | 8.2x | 42 | 25% |
| MACD fast=16, slow=26, signal=11 |
42.1% | -73.7% | 0.82 | 0.57 | 7.5x | 115 | 54% |
| Donchian 채널 돌파 entryN=6, exitN=75 |
23.1% | -88.6% | 0.72 | 0.26 | 3.3x | 29 | 85% |
| SMA 크로스오버 fast=14, slow=202 |
25.6% | -70.0% | 0.66 | 0.37 | 3.7x | 15 | 34% |
| Parabolic SAR step=0.015, maxStep=0.14 |
21.4% | -73.6% | 0.63 | 0.29 | 3.0x | 136 | 47% |
| Buy and hold | 10.1% | -95.3% | 0.65 | 0.11 | 1.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 29-day return is greater than 9%
- Sell — Sell when the 29-day return drops to 9% or below