Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
XRP backtest
10 trend-following strategies were compared on the full daily history of XRP. 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 115.6%, MDD -42.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 28.4%, drawdown -95.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 115.6%, MDD -42.9%, Sharpe 1.38, 28% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 87.2%p higher than buy and hold, while drawdown improves by 53.0%p (CAGR 115.6%, MDD -42.9%, exposure 28%).
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=16, k=1.8 |
115.6% | -42.9% | 1.38 | 2.70 | 955.4x | 131 | 28% |
| Donchian 채널 돌파 entryN=35, exitN=2 |
92.9% | -46.8% | 1.31 | 1.99 | 353.9x | 66 | 11% |
| ADX / DI 방향성 period=8, threshold=36 |
106.5% | -56.6% | 1.31 | 1.88 | 649.2x | 133 | 24% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=17, mult=1.2 |
95.8% | -44.7% | 1.28 | 2.14 | 403.5x | 102 | 16% |
| MACD fast=10, slow=69, signal=8 |
100.9% | -57.2% | 1.23 | 1.77 | 508.7x | 189 | 48% |
| Parabolic SAR step=0.015, maxStep=0.12 |
91.7% | -67.9% | 1.18 | 1.35 | 334.6x | 167 | 43% |
| ROC 모멘텀 n=7, threshold=0.03 |
88.9% | -55.6% | 1.16 | 1.60 | 293.3x | 414 | 31% |
| Supertrend period=8, mult=2.3 |
85.0% | -67.7% | 1.13 | 1.26 | 243.4x | 95 | 45% |
| SMA 크로스오버 fast=3, slow=24 |
73.5% | -60.9% | 1.05 | 1.21 | 137.4x | 171 | 42% |
| EMA 크로스오버 fast=4, slow=25 |
60.1% | -68.4% | 0.95 | 0.88 | 66.8x | 147 | 41% |
| Buy and hold | 28.4% | -95.9% | 0.73 | 0.30 | 9.3x | 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 16-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 16-day middle average