Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cypherpunk Technologies Inc. backtest
10 trend-following strategies were compared on the full daily history of Cypherpunk Technologies Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.6%, MDD -64.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -32.5%, drawdown -99.8%).
Sharpe leader (same as main): Supertrend — CAGR 24.2%, MDD -75.0%, Sharpe 0.64, 36% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 56.7%p higher than buy and hold, while drawdown improves by 24.8%p (CAGR 9.6%, MDD -64.1%, exposure 23%).
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=24, mult=2.3 |
24.2% | -75.0% | 0.64 | 0.32 | 8.0x | 65 | 36% |
| 볼린저 밴드 돌파 n=23, k=1.7 |
14.2% | -71.9% | 0.51 | 0.20 | 3.6x | 89 | 28% |
| Parabolic SAR step=0.02, maxStep=0.12 |
23.7% | -74.1% | 0.50 | 0.32 | 7.7x | 165 | 43% |
| MACD fast=14, slow=32, signal=7 |
8.3% | -81.6% | 0.50 | 0.10 | 2.2x | 147 | 54% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=27, mult=1.3 |
9.6% | -64.1% | 0.44 | 0.15 | 2.4x | 79 | 23% |
| ROC 모멘텀 n=19, threshold=0.02 |
5.4% | -83.1% | 0.43 | 0.07 | 1.7x | 217 | 41% |
| ADX / DI 방향성 period=8, threshold=7 |
-1.7% | -91.1% | 0.37 | -0.02 | 0.8x | 259 | 51% |
| Donchian 채널 돌파 entryN=16, exitN=26 |
-7.0% | -88.4% | 0.34 | -0.08 | 0.5x | 55 | 49% |
| EMA 크로스오버 fast=27, slow=32 |
-22.2% | -96.9% | 0.17 | -0.23 | 0.1x | 49 | 36% |
| SMA 크로스오버 fast=22, slow=107 |
-26.6% | -97.3% | 0.12 | -0.27 | 0.1x | 29 | 36% |
| Buy and hold | -32.5% | -99.8% | 0.28 | -0.33 | 0.0x | 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) — 24-day volatility, 2.3× band
- Sell — Sell when price drops below the trend line (flips down)