Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Chainlink backtest
10 trend-following strategies were compared on the full daily history of Chainlink. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 22.8%, MDD -27.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.5%, drawdown -89.6%).
Sharpe leader (same as main): Parabolic SAR — CAGR 37.2%, MDD -54.5%, Sharpe 0.81, 45% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 31.7%p higher than buy and hold, while drawdown improves by 35.1%p (CAGR 22.8%, MDD -27.7%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.16 |
37.2% | -54.5% | 0.81 | 0.68 | 6.8x | 109 | 45% |
| Donchian 채널 돌파 entryN=105, exitN=17 |
31.2% | -53.8% | 0.79 | 0.58 | 5.2x | 11 | 19% |
| Supertrend period=48, mult=4.8 |
33.6% | -70.4% | 0.77 | 0.48 | 5.8x | 19 | 42% |
| 볼린저 밴드 돌파 n=33, k=3.5 |
22.8% | -27.7% | 0.76 | 0.82 | 3.5x | 7 | 7% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=33, mult=4 |
26.3% | -49.0% | 0.75 | 0.54 | 4.1x | 11 | 16% |
| ROC 모멘텀 n=31, threshold=0.12 |
29.7% | -73.5% | 0.74 | 0.40 | 4.9x | 115 | 29% |
| ADX / DI 방향성 period=27, threshold=23 |
21.0% | -28.8% | 0.72 | 0.73 | 3.2x | 17 | 11% |
| SMA 크로스오버 fast=9, slow=91 |
27.9% | -77.0% | 0.70 | 0.36 | 4.4x | 31 | 45% |
| MACD fast=11, slow=50, signal=15 |
27.0% | -55.5% | 0.69 | 0.49 | 4.3x | 113 | 52% |
| EMA 크로스오버 fast=31, slow=49 |
23.9% | -71.3% | 0.65 | 0.34 | 3.7x | 31 | 45% |
| Buy and hold | 5.5% | -89.6% | 0.52 | 0.06 | 1.4x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots