Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Cardano backtest
10 trend-following strategies were compared on the full daily history of Cardano. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 133.1%, MDD -55.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 33.1%, drawdown -98.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 140.5%, MDD -61.5%, Sharpe 1.33, 18% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 141.6%, MDD -77.8%, exposure 41%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 107.4%p higher than buy and hold, while drawdown improves by 36.7%p (CAGR 133.1%, MDD -55.2%, 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=37, k=3 |
140.5% | -61.5% | 1.33 | 2.28 | 2467.3x | 25 | 18% |
| SMA 크로스오버 fast=15, slow=43 |
141.6% | -77.8% | 1.30 | 1.82 | 2573.6x | 67 | 41% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=10, mult=2.4 |
131.0% | -62.6% | 1.28 | 2.09 | 1720.8x | 42 | 22% |
| EMA 크로스오버 fast=21, slow=27 |
137.7% | -77.3% | 1.28 | 1.78 | 2224.0x | 63 | 40% |
| ROC 모멘텀 n=20, threshold=0.13 |
133.1% | -55.2% | 1.27 | 2.41 | 1867.0x | 174 | 24% |
| Parabolic SAR step=0.01, maxStep=0.06 |
132.9% | -79.3% | 1.26 | 1.68 | 1856.0x | 123 | 42% |
| Supertrend period=28, mult=3.7 |
124.8% | -77.8% | 1.22 | 1.60 | 1351.0x | 45 | 38% |
| Donchian 채널 돌파 entryN=101, exitN=31 |
66.3% | -56.2% | 1.18 | 1.18 | 92.4x | 16 | 27% |
| ADX / DI 방향성 period=11, threshold=14 |
114.5% | -79.1% | 1.17 | 1.45 | 892.1x | 233 | 42% |
| MACD fast=11, slow=50, signal=13 |
75.7% | -74.3% | 1.06 | 1.02 | 151.0x | 159 | 52% |
| Buy and hold | 33.1% | -98.3% | 0.76 | 0.34 | 12.8x | 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 37-day average (3× volatility)
- Sell — Sell when the close falls back to the 37-day middle average