Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Stellar backtest
10 trend-following strategies were compared on the full daily history of Stellar. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 142.5%, MDD -52.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 38.7%, drawdown -96.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 142.5%, MDD -52.8%, Sharpe 1.39, 25% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 103.8%p higher than buy and hold, while drawdown improves by 43.7%p (CAGR 142.5%, MDD -52.8%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=12, k=2 |
142.5% | -52.8% | 1.39 | 2.70 | 2725.2x | 144 | 25% |
| ROC 모멘텀 n=7, threshold=0.08 |
112.9% | -56.1% | 1.30 | 2.01 | 854.7x | 282 | 20% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=14, mult=0.9 |
117.5% | -55.9% | 1.25 | 2.10 | 1032.5x | 150 | 27% |
| EMA 크로스오버 fast=7, slow=9 |
113.7% | -62.7% | 1.22 | 1.81 | 880.4x | 188 | 40% |
| ADX / DI 방향성 period=10, threshold=17 |
107.0% | -71.0% | 1.19 | 1.51 | 662.5x | 213 | 43% |
| MACD fast=6, slow=47, signal=9 |
95.9% | -72.2% | 1.17 | 1.33 | 405.8x | 240 | 49% |
| Supertrend period=8, mult=2.3 |
104.4% | -71.5% | 1.16 | 1.46 | 593.3x | 99 | 45% |
| SMA 크로스오버 fast=3, slow=14 |
100.1% | -61.4% | 1.15 | 1.63 | 491.1x | 258 | 41% |
| Donchian 채널 돌파 entryN=10, exitN=5 |
90.4% | -68.3% | 1.10 | 1.32 | 315.1x | 142 | 33% |
| Parabolic SAR step=0.05, maxStep=0.08 |
83.2% | -61.7% | 1.09 | 1.35 | 223.0x | 246 | 42% |
| Buy and hold | 38.7% | -96.6% | 0.81 | 0.40 | 18.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 12-day average (2× volatility)
- Sell — Sell when the close falls back to the 12-day middle average