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 70.7%, MDD -66.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 20.5%, drawdown -98.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 70.7%, MDD -66.7%, Sharpe 1.04, 34% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 50.2%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 70.7%, 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 |
70.7% | -66.7% | 1.04 | 1.06 | 262.5x | 52 | 34% |
| ROC 모멘텀 n=22, threshold=0.01 |
59.2% | -76.8% | 0.95 | 0.77 | 126.8x | 229 | 45% |
| Donchian 채널 돌파 entryN=77, exitN=20 |
54.9% | -68.8% | 0.94 | 0.80 | 95.7x | 20 | 26% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=14, mult=1.7 |
54.2% | -70.0% | 0.92 | 0.77 | 91.3x | 50 | 32% |
| MACD fast=15, slow=41, signal=12 |
53.8% | -89.5% | 0.91 | 0.60 | 88.8x | 115 | 53% |
| ADX / DI 방향성 period=18, threshold=19 |
51.4% | -76.6% | 0.90 | 0.67 | 75.2x | 74 | 37% |
| SMA 크로스오버 fast=8, slow=44 |
52.6% | -82.4% | 0.90 | 0.64 | 81.5x | 76 | 47% |
| Supertrend period=12, mult=4.2 |
51.4% | -81.0% | 0.89 | 0.63 | 75.0x | 36 | 52% |
| EMA 크로스오버 fast=10, slow=29 |
48.1% | -86.2% | 0.86 | 0.56 | 59.7x | 80 | 47% |
| Parabolic SAR step=0.04, maxStep=0.38 |
18.2% | -79.4% | 0.60 | 0.23 | 5.7x | 335 | 49% |
| Buy and hold | 20.5% | -98.3% | 0.70 | 0.21 | 7.0x | 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