Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Algorand backtest
10 trend-following strategies were compared on the full daily history of Algorand. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 21.6%, MDD -31.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -46.3%, drawdown -95.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 41.7%, MDD -31.8%, Sharpe 1.04, 11% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 88.0%p higher than buy and hold, while drawdown improves by 63.7%p (CAGR 21.6%, MDD -31.2%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=26, k=3 |
41.7% | -31.8% | 1.04 | 1.31 | 5.3x | 14 | 11% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=16, mult=2 |
37.7% | -39.0% | 0.99 | 0.97 | 4.6x | 22 | 9% |
| Donchian 채널 돌파 entryN=40, exitN=4 |
38.5% | -31.7% | 0.99 | 1.21 | 4.8x | 26 | 11% |
| ROC 모멘텀 n=14, threshold=0.14 |
33.8% | -36.3% | 0.87 | 0.93 | 4.0x | 78 | 14% |
| ADX / DI 방향성 period=15, threshold=32 |
21.6% | -31.2% | 0.72 | 0.69 | 2.5x | 22 | 9% |
| EMA 크로스오버 fast=1, slow=72 |
24.6% | -53.7% | 0.67 | 0.46 | 2.9x | 64 | 26% |
| Parabolic SAR step=0.01, maxStep=0.18 |
13.4% | -73.7% | 0.50 | 0.18 | 1.8x | 77 | 35% |
| Supertrend period=26, mult=4 |
9.6% | -76.3% | 0.43 | 0.13 | 1.5x | 17 | 26% |
| MACD fast=17, slow=54, signal=21 |
4.3% | -69.2% | 0.38 | 0.06 | 1.2x | 55 | 51% |
| SMA 크로스오버 fast=17, slow=122 |
4.0% | -60.8% | 0.33 | 0.07 | 1.2x | 14 | 28% |
| Buy and hold | -46.3% | -95.5% | -0.33 | -0.48 | 0.1x | 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 26-day average (3× volatility)
- Sell — Sell when the close falls back to the 26-day middle average