Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Polkadot backtest
10 trend-following strategies were compared on the full daily history of Polkadot. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 62.1%, MDD -28.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -21.6%, drawdown -98.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 62.1%, MDD -28.2%, Sharpe 1.28, 14% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 83.7%p higher than buy and hold, while drawdown improves by 70.1%p (CAGR 62.1%, MDD -28.2%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=17, threshold=33 |
62.1% | -28.2% | 1.28 | 2.20 | 17.3x | 24 | 14% |
| 볼린저 밴드 돌파 n=59, k=2.9 |
60.3% | -37.7% | 1.14 | 1.60 | 16.2x | 10 | 17% |
| Donchian 채널 돌파 entryN=71, exitN=12 |
59.6% | -37.7% | 1.14 | 1.58 | 15.8x | 12 | 17% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=16, mult=2.1 |
57.8% | -46.9% | 1.12 | 1.23 | 14.8x | 32 | 20% |
| ROC 모멘텀 n=20, threshold=0.11 |
52.8% | -52.5% | 1.02 | 1.01 | 12.2x | 102 | 23% |
| Supertrend period=13, mult=2.6 |
44.9% | -71.4% | 0.89 | 0.63 | 8.9x | 52 | 39% |
| EMA 크로스오버 fast=27, slow=80 |
43.9% | -64.1% | 0.88 | 0.68 | 8.6x | 12 | 29% |
| SMA 크로스오버 fast=25, slow=53 |
38.8% | -75.6% | 0.83 | 0.51 | 6.9x | 36 | 37% |
| MACD fast=19, slow=50, signal=23 |
14.8% | -84.4% | 0.53 | 0.18 | 2.3x | 69 | 51% |
| Parabolic SAR step=0.005, maxStep=0.16 |
6.5% | -75.6% | 0.40 | 0.09 | 1.5x | 63 | 37% |
| Buy and hold | -21.6% | -98.4% | 0.18 | -0.22 | 0.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 17-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)