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 75.8%, MDD -51.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.1%, drawdown -98.3%).
Sharpe leader (same as main): Supertrend — CAGR 97.3%, MDD -58.7%, Sharpe 1.28, 35% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 107.4%p higher than buy and hold, while drawdown improves by 39.6%p (CAGR 75.8%, MDD -51.4%, exposure 27%).
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 |
97.3% | -58.7% | 1.28 | 1.66 | 259.8x | 65 | 35% |
| 볼린저 밴드 돌파 n=40, k=1.7 |
87.5% | -54.7% | 1.24 | 1.60 | 171.1x | 47 | 29% |
| Donchian 채널 돌파 entryN=33, exitN=9 |
75.8% | -51.4% | 1.17 | 1.47 | 101.4x | 47 | 27% |
| EMA 크로스오버 fast=8, slow=25 |
77.4% | -80.5% | 1.13 | 0.96 | 108.8x | 89 | 40% |
| ADX / DI 방향성 period=38, threshold=9 |
76.0% | -60.1% | 1.12 | 1.26 | 102.1x | 89 | 36% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=16, mult=1.2 |
70.0% | -62.5% | 1.12 | 1.12 | 76.9x | 79 | 28% |
| SMA 크로스오버 fast=8, slow=44 |
73.8% | -73.5% | 1.11 | 1.01 | 92.3x | 71 | 40% |
| ROC 모멘텀 n=39, threshold=0.02 |
67.0% | -75.5% | 1.05 | 0.89 | 66.3x | 139 | 40% |
| MACD fast=24, slow=47, signal=17 |
56.6% | -79.1% | 0.95 | 0.72 | 39.2x | 101 | 56% |
| Parabolic SAR step=0.045, maxStep=0.12 |
53.7% | -79.5% | 0.93 | 0.68 | 33.7x | 312 | 45% |
| Buy and hold | -10.1% | -98.3% | 0.45 | -0.10 | 0.4x | 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)