Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Stacks backtest
10 trend-following strategies were compared on the full daily history of Stacks. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 49.0%, MDD -42.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -34.4%, drawdown -96.8%).
Sharpe leader (same as main): Supertrend — CAGR 69.0%, MDD -65.1%, Sharpe 1.10, 27% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 103.5%p higher than buy and hold, while drawdown improves by 31.7%p (CAGR 49.0%, MDD -42.4%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=78, mult=3.3 |
69.0% | -65.1% | 1.10 | 1.06 | 17.1x | 25 | 27% |
| 볼린저 밴드 돌파 n=60, k=2.9 |
53.5% | -42.4% | 1.02 | 1.26 | 10.1x | 9 | 17% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=30, mult=2.9 |
49.0% | -42.4% | 0.95 | 1.16 | 8.6x | 11 | 17% |
| ADX / DI 방향성 period=34, threshold=19 |
50.1% | -47.5% | 0.95 | 1.05 | 9.0x | 17 | 21% |
| EMA 크로스오버 fast=39, slow=71 |
51.1% | -54.9% | 0.92 | 0.93 | 9.3x | 9 | 28% |
| ROC 모멘텀 n=85, threshold=0.2 |
46.4% | -57.5% | 0.89 | 0.81 | 7.9x | 32 | 23% |
| Donchian 채널 돌파 entryN=112, exitN=19 |
39.4% | -47.3% | 0.84 | 0.83 | 6.0x | 8 | 16% |
| SMA 크로스오버 fast=18, slow=93 |
40.9% | -71.5% | 0.82 | 0.57 | 6.4x | 21 | 33% |
| Parabolic SAR step=0.055, maxStep=0.2 |
10.5% | -83.1% | 0.49 | 0.13 | 1.7x | 280 | 44% |
| MACD fast=7, slow=44, signal=21 |
2.1% | -86.1% | 0.41 | 0.02 | 1.1x | 109 | 52% |
| Buy and hold | -34.4% | -96.8% | 0.12 | -0.36 | 0.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 78-day volatility, 3.3× band
- Sell — Sell when price drops below the trend line (flips down)