Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
VeChain backtest
10 trend-following strategies were compared on the full daily history of VeChain. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 62.8%, MDD -52.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.0%, drawdown -98.3%).
Sharpe leader (same as main): Supertrend — CAGR 87.2%, MDD -58.7%, Sharpe 1.21, 34% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 104.2%p higher than buy and hold, while drawdown improves by 39.6%p (CAGR 62.8%, MDD -52.3%, exposure 24%).
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=20, mult=2.5 |
87.2% | -58.7% | 1.21 | 1.49 | 152.3x | 64 | 34% |
| 볼린저 밴드 돌파 n=41, k=1.5 |
82.4% | -54.9% | 1.20 | 1.50 | 123.8x | 48 | 29% |
| EMA 크로스오버 fast=12, slow=22 |
71.2% | -77.5% | 1.09 | 0.92 | 74.6x | 74 | 40% |
| SMA 크로스오버 fast=7, slow=43 |
70.4% | -72.8% | 1.08 | 0.97 | 71.8x | 74 | 40% |
| Donchian 채널 돌파 entryN=38, exitN=9 |
62.8% | -52.3% | 1.06 | 1.20 | 49.7x | 44 | 24% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=14, mult=1.1 |
64.1% | -64.9% | 1.06 | 0.99 | 53.1x | 82 | 29% |
| ROC 모멘텀 n=37, threshold=0.11 |
59.2% | -71.4% | 1.00 | 0.83 | 41.5x | 108 | 30% |
| ADX / DI 방향성 period=26, threshold=10 |
52.8% | -67.8% | 0.94 | 0.78 | 30.0x | 118 | 37% |
| Parabolic SAR step=0.045, maxStep=0.12 |
51.0% | -78.9% | 0.91 | 0.65 | 27.2x | 305 | 45% |
| MACD fast=10, slow=58, signal=31 |
46.3% | -81.0% | 0.87 | 0.57 | 21.1x | 121 | 53% |
| Buy and hold | -17.0% | -98.3% | 0.38 | -0.17 | 0.2x | 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) — 20-day volatility, 2.5× band
- Sell — Sell when price drops below the trend line (flips down)