Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
The Sandbox backtest
10 trend-following strategies were compared on the full daily history of The Sandbox. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 87.9%, MDD -43.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.1%, drawdown -99.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 110.5%, MDD -63.0%, Sharpe 1.27, 25% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 125.5%p higher than buy and hold, while drawdown improves by 36.5%p (CAGR 87.9%, MDD -43.9%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=32, threshold=0.09 |
110.5% | -63.0% | 1.27 | 1.75 | 64.9x | 74 | 25% |
| 볼린저 밴드 돌파 n=23, k=2.6 |
98.6% | -69.3% | 1.21 | 1.42 | 46.9x | 34 | 17% |
| ADX / DI 방향성 period=9, threshold=39 |
87.9% | -43.9% | 1.20 | 2.00 | 34.4x | 40 | 13% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=22, mult=1.7 |
78.7% | -67.5% | 1.08 | 1.17 | 26.0x | 32 | 19% |
| Supertrend period=11, mult=2.5 |
78.4% | -78.8% | 1.04 | 0.99 | 25.7x | 58 | 36% |
| SMA 크로스오버 fast=2, slow=15 |
66.2% | -86.4% | 0.96 | 0.77 | 17.3x | 180 | 39% |
| Donchian 채널 돌파 entryN=69, exitN=36 |
57.4% | -52.5% | 0.93 | 1.09 | 12.7x | 8 | 22% |
| Parabolic SAR step=0.035, maxStep=0.26 |
55.7% | -86.7% | 0.90 | 0.64 | 12.0x | 218 | 43% |
| EMA 크로스오버 fast=19, slow=172 |
52.7% | -64.8% | 0.88 | 0.81 | 10.7x | 6 | 23% |
| MACD fast=29, slow=52, signal=7 |
37.9% | -81.1% | 0.76 | 0.47 | 6.1x | 94 | 48% |
| Buy and hold | -15.1% | -99.5% | 0.43 | -0.15 | 0.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 32-day return is greater than 9%
- Sell — Sell when the 32-day return drops to 9% or below