Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Dogecoin backtest
10 trend-following strategies were compared on the full daily history of Dogecoin. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 78.2%, MDD -55.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 10.8%, drawdown -91.5%).
Sharpe leader (same as main): MACD — CAGR 94.3%, MDD -63.5%, Sharpe 1.13, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 83.5%p higher than buy and hold, while drawdown improves by 28.1%p (CAGR 78.2%, MDD -55.6%, exposure 30%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=23, slow=28, signal=17 |
94.3% | -63.5% | 1.13 | 1.49 | 39.0x | 67 | 52% |
| Donchian 채널 돌파 entryN=20, exitN=7 |
80.7% | -58.6% | 1.07 | 1.38 | 26.1x | 46 | 26% |
| SMA 크로스오버 fast=10, slow=25 |
82.1% | -56.7% | 1.06 | 1.45 | 27.3x | 73 | 41% |
| Supertrend period=29, mult=2 |
78.9% | -64.7% | 1.05 | 1.22 | 24.7x | 68 | 38% |
| 볼린저 밴드 돌파 n=33, k=1.3 |
78.2% | -55.6% | 1.04 | 1.41 | 24.2x | 51 | 30% |
| ROC 모멘텀 n=29, threshold=0.12 |
73.6% | -72.0% | 1.01 | 1.02 | 21.0x | 111 | 25% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=9, mult=1.6 |
64.7% | -58.7% | 0.96 | 1.10 | 15.7x | 48 | 18% |
| EMA 크로스오버 fast=11, slow=28 |
61.5% | -63.4% | 0.92 | 0.97 | 14.0x | 55 | 40% |
| ADX / DI 방향성 period=14, threshold=13 |
58.6% | -77.6% | 0.90 | 0.76 | 12.7x | 121 | 48% |
| Parabolic SAR step=0.01, maxStep=0.12 |
39.8% | -75.3% | 0.76 | 0.53 | 6.3x | 75 | 39% |
| Buy and hold | 10.8% | -91.5% | 0.59 | 0.12 | 1.8x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (23/28) crosses above its 17-day signal line
- Sell — Sell when the MACD line crosses back below the signal line