Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
TRON backtest
10 trend-following strategies were compared on the full daily history of TRON. 8 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 49.1%, MDD -47.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 32.2%, drawdown -88.9%).
Sharpe leader (same as main): Parabolic SAR — CAGR 57.0%, MDD -62.7%, Sharpe 0.99, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 24.8%p higher than buy and hold, while drawdown improves by 26.2%p (CAGR 49.1%, MDD -47.5%, exposure 39%).
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=0.005, maxStep=0.36 |
57.0% | -62.7% | 0.99 | 0.91 | 44.4x | 77 | 48% |
| MACD fast=14, slow=55, signal=28 |
52.5% | -53.5% | 0.93 | 0.98 | 34.7x | 93 | 52% |
| Supertrend period=6, mult=3.9 |
53.3% | -61.5% | 0.93 | 0.87 | 36.2x | 34 | 57% |
| 볼린저 밴드 돌파 n=33, k=1.5 |
49.1% | -47.5% | 0.92 | 1.03 | 28.8x | 80 | 39% |
| ROC 모멘텀 n=36, threshold=-0.1 |
49.0% | -61.0% | 0.89 | 0.80 | 28.6x | 121 | 78% |
| SMA 크로스오버 fast=12, slow=36 |
45.2% | -52.1% | 0.86 | 0.87 | 23.0x | 81 | 54% |
| EMA 크로스오버 fast=10, slow=62 |
42.4% | -59.4% | 0.83 | 0.71 | 19.5x | 50 | 58% |
| Donchian 채널 돌파 entryN=10, exitN=40 |
41.6% | -71.2% | 0.81 | 0.58 | 18.6x | 46 | 78% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=23, mult=1.9 |
30.3% | -45.9% | 0.70 | 0.66 | 9.2x | 62 | 34% |
| ADX / DI 방향성 period=27, threshold=9 |
29.2% | -59.3% | 0.68 | 0.49 | 8.6x | 124 | 58% |
| Buy and hold | 32.2% | -88.9% | 0.73 | 0.36 | 10.4x | 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