Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Avalanche backtest
10 trend-following strategies were compared on the full daily history of Avalanche. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 113.3%, MDD -39.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.0%, drawdown -95.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 113.3%, MDD -39.0%, Sharpe 1.46, 14% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 114.3%, MDD -52.3%, exposure 24%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 110.2%p higher than buy and hold, while drawdown improves by 56.6%p (CAGR 113.3%, MDD -39.0%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=22, mult=1.7 |
113.3% | -39.0% | 1.46 | 2.90 | 84.2x | 36 | 14% |
| ADX / DI 방향성 period=12, threshold=37 |
111.2% | -41.5% | 1.45 | 2.68 | 79.6x | 26 | 11% |
| 볼린저 밴드 돌파 n=11, k=2 |
114.3% | -52.3% | 1.39 | 2.19 | 86.7x | 94 | 24% |
| ROC 모멘텀 n=61, threshold=0.18 |
114.0% | -58.6% | 1.32 | 1.95 | 85.9x | 52 | 29% |
| Donchian 채널 돌파 entryN=59, exitN=6 |
98.9% | -56.2% | 1.31 | 1.76 | 56.0x | 24 | 15% |
| Supertrend period=28, mult=4.4 |
93.4% | -68.6% | 1.21 | 1.36 | 47.6x | 20 | 32% |
| MACD fast=16, slow=64, signal=20 |
97.3% | -82.1% | 1.18 | 1.19 | 53.4x | 63 | 52% |
| EMA 크로스오버 fast=12, slow=89 |
86.3% | -65.8% | 1.12 | 1.31 | 38.1x | 22 | 37% |
| SMA 크로스오버 fast=10, slow=21 |
75.6% | -76.9% | 1.06 | 0.98 | 27.0x | 94 | 44% |
| Parabolic SAR step=0.045, maxStep=0.24 |
60.9% | -79.6% | 0.95 | 0.77 | 16.2x | 271 | 48% |
| Buy and hold | 3.0% | -95.6% | 0.59 | 0.03 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 13-day average + 1.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average