Trend-Following Backtester · Guide · backtest 한국어
equity · US
Riot Platforms, Inc. backtest
10 trend-following strategies were compared on the full daily history of Riot Platforms, Inc.. 9 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 71.4%, MDD -66.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 21.4%, drawdown -98.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 71.4%, MDD -66.7%, Sharpe 1.05, 34% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 50.0%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 71.4%, MDD -66.7%, exposure 34%).
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=43, k=1.7 |
71.4% | -66.7% | 1.05 | 1.07 | 262.5x | 52 | 34% |
| ROC 모멘텀 n=22, threshold=0.01 |
60.5% | -76.8% | 0.96 | 0.79 | 133.1x | 226 | 46% |
| Donchian 채널 돌파 entryN=77, exitN=20 |
55.5% | -68.8% | 0.95 | 0.81 | 95.7x | 20 | 26% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=14, mult=1.7 |
54.8% | -70.0% | 0.92 | 0.78 | 91.3x | 50 | 33% |
| MACD fast=15, slow=41, signal=12 |
55.7% | -89.5% | 0.92 | 0.62 | 97.3x | 112 | 53% |
| ADX / DI 방향성 period=18, threshold=19 |
51.9% | -76.6% | 0.91 | 0.68 | 75.2x | 74 | 38% |
| SMA 크로스오버 fast=8, slow=44 |
53.1% | -82.4% | 0.90 | 0.64 | 81.5x | 76 | 48% |
| Supertrend period=12, mult=4.2 |
51.9% | -81.0% | 0.90 | 0.64 | 75.0x | 36 | 52% |
| EMA 크로스오버 fast=10, slow=29 |
48.6% | -86.2% | 0.87 | 0.56 | 59.7x | 80 | 47% |
| Parabolic SAR step=0.04, maxStep=0.38 |
20.3% | -79.4% | 0.62 | 0.26 | 6.8x | 332 | 49% |
| Buy and hold | 21.4% | -98.3% | 0.71 | 0.22 | 7.4x | 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 43-day average (1.7× volatility)
- Sell — Sell when the close falls back to the 43-day middle average