Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
XRP backtest
10 trend-following strategies were compared on the full daily history of XRP. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 43.6%, MDD -27.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.5%, drawdown -93.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 57.9%, MDD -49.4%, Sharpe 1.10, 11% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 62.1%, MDD -39.9%, exposure 17%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 63.4%p higher than buy and hold, while drawdown improves by 44.2%p (CAGR 43.6%, MDD -27.2%, exposure 9%).
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=7, atrPeriod=15, mult=1.4 |
57.9% | -49.4% | 1.10 | 1.17 | 51.8x | 70 | 11% |
| 볼린저 밴드 돌파 n=15, k=2.5 |
62.1% | -39.9% | 1.09 | 1.56 | 64.8x | 77 | 17% |
| ADX / DI 방향성 period=8, threshold=48 |
43.6% | -27.2% | 1.01 | 1.60 | 22.7x | 47 | 9% |
| MACD fast=12, slow=28, signal=16 |
52.9% | -65.7% | 0.92 | 0.81 | 39.2x | 159 | 50% |
| Donchian 채널 돌파 entryN=64, exitN=1 |
35.0% | -39.5% | 0.90 | 0.89 | 13.3x | 52 | 6% |
| ROC 모멘텀 n=16, threshold=0.07 |
35.9% | -65.4% | 0.78 | 0.55 | 14.2x | 223 | 26% |
| Supertrend period=7, mult=2.6 |
33.6% | -67.2% | 0.72 | 0.50 | 12.2x | 75 | 43% |
| EMA 크로스오버 fast=95, slow=213 |
27.0% | -74.5% | 0.68 | 0.36 | 7.9x | 8 | 43% |
| Parabolic SAR step=0.03, maxStep=0.32 |
27.1% | -70.2% | 0.67 | 0.39 | 7.9x | 274 | 45% |
| SMA 크로스오버 fast=58, slow=139 |
9.3% | -88.5% | 0.48 | 0.10 | 2.2x | 26 | 43% |
| Buy and hold | -5.5% | -93.6% | 0.43 | -0.06 | 0.6x | 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 7-day average + 1.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 7-day average