Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Cosmos backtest
10 trend-following strategies were compared on the full daily history of Cosmos. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 28.7%, MDD -49.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.1%, drawdown -96.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 38.5%, MDD -50.9%, Sharpe 0.86, 17% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 52.6%p higher than buy and hold, while drawdown improves by 45.9%p (CAGR 28.7%, MDD -49.1%, exposure 21%).
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=57, k=3.1 |
38.5% | -50.9% | 0.86 | 0.76 | 10.9x | 16 | 17% |
| EMA 크로스오버 fast=10, slow=12 |
38.2% | -64.0% | 0.80 | 0.60 | 10.7x | 117 | 45% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=24, mult=2.7 |
34.2% | -55.3% | 0.79 | 0.62 | 8.6x | 26 | 21% |
| ROC 모멘텀 n=60, threshold=0.14 |
34.6% | -62.6% | 0.77 | 0.55 | 8.8x | 96 | 31% |
| SMA 크로스오버 fast=33, slow=65 |
33.4% | -63.3% | 0.75 | 0.53 | 8.3x | 38 | 43% |
| Donchian 채널 돌파 entryN=49, exitN=9 |
28.7% | -49.1% | 0.72 | 0.58 | 6.3x | 32 | 21% |
| MACD fast=20, slow=53, signal=18 |
29.3% | -72.2% | 0.71 | 0.41 | 6.6x | 95 | 50% |
| Supertrend period=9, mult=3.8 |
23.5% | -72.7% | 0.65 | 0.32 | 4.7x | 39 | 51% |
| ADX / DI 방향성 period=13, threshold=26 |
17.1% | -64.1% | 0.55 | 0.27 | 3.2x | 85 | 21% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-0.1% | -76.5% | 0.33 | -0.00 | 1.0x | 144 | 43% |
| Buy and hold | -14.1% | -96.8% | 0.33 | -0.15 | 0.3x | 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 57-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 57-day middle average