Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Aave backtest
10 trend-following strategies were compared on the full daily history of Aave. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 27.4%, MDD -41.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 14.3%, drawdown -92.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 42.0%, MDD -53.7%, Sharpe 0.99, 10% exposure.
CAGR reference leader: Supertrend — CAGR 49.7%, MDD -79.4%, exposure 40%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 27.7%p higher than buy and hold, while drawdown improves by 38.4%p (CAGR 27.4%, MDD -41.6%, exposure 12%).
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=14, k=2.8 |
42.0% | -53.7% | 0.99 | 0.78 | 7.6x | 28 | 10% |
| ADX / DI 방향성 period=9, threshold=29 |
46.2% | -46.6% | 0.92 | 0.99 | 9.0x | 104 | 25% |
| Supertrend period=19, mult=3.2 |
49.7% | -79.4% | 0.91 | 0.63 | 10.3x | 39 | 40% |
| SMA 크로스오버 fast=13, slow=42 |
44.7% | -77.3% | 0.86 | 0.58 | 8.5x | 49 | 45% |
| ROC 모멘텀 n=35, threshold=0.11 |
35.8% | -71.1% | 0.79 | 0.50 | 5.9x | 123 | 34% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=21, mult=2.3 |
27.4% | -41.6% | 0.76 | 0.66 | 4.1x | 30 | 12% |
| EMA 크로스오버 fast=58, slow=73 |
30.1% | -76.1% | 0.72 | 0.40 | 4.6x | 14 | 41% |
| Donchian 채널 돌파 entryN=75, exitN=77 |
25.8% | -75.2% | 0.68 | 0.34 | 3.8x | 6 | 51% |
| MACD fast=5, slow=39, signal=8 |
24.2% | -66.2% | 0.66 | 0.37 | 3.5x | 209 | 51% |
| Parabolic SAR step=0.01, maxStep=0.12 |
14.1% | -78.9% | 0.55 | 0.18 | 2.1x | 105 | 44% |
| Buy and hold | 14.3% | -92.1% | 0.66 | 0.16 | 2.2x | 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 14-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 14-day middle average