Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Aave backtest
10 trend-following strategies were compared on the full daily history of Aave. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.9%, MDD -41.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -20.6%, drawdown -91.3%).
Sharpe leader (same as main): Supertrend — CAGR 15.2%, MDD -61.9%, Sharpe 0.53, 42% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 35.8%p higher than buy and hold, while drawdown improves by 29.4%p (CAGR 5.9%, MDD -41.5%, exposure 19%).
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=15, mult=3.2 |
15.2% | -61.9% | 0.53 | 0.25 | 2.2x | 35 | 42% |
| EMA 크로스오버 fast=18, slow=219 |
14.8% | -55.5% | 0.52 | 0.27 | 2.1x | 8 | 30% |
| SMA 크로스오버 fast=31, slow=208 |
9.7% | -61.9% | 0.43 | 0.16 | 1.6x | 12 | 33% |
| MACD fast=11, slow=41, signal=17 |
6.5% | -70.2% | 0.42 | 0.09 | 1.4x | 94 | 48% |
| ROC 모멘텀 n=102, threshold=0.12 |
6.7% | -57.8% | 0.37 | 0.12 | 1.4x | 58 | 32% |
| 볼린저 밴드 돌파 n=33, k=1.4 |
5.2% | -66.1% | 0.37 | 0.08 | 1.3x | 58 | 32% |
| ADX / DI 방향성 period=10, threshold=24 |
2.5% | -60.6% | 0.34 | 0.04 | 1.1x | 130 | 38% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=23, mult=3.1 |
5.9% | -41.5% | 0.34 | 0.14 | 1.4x | 20 | 19% |
| Donchian 채널 돌파 entryN=85, exitN=74 |
2.4% | -68.2% | 0.29 | 0.03 | 1.1x | 6 | 31% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-4.9% | -73.1% | 0.25 | -0.07 | 0.8x | 116 | 44% |
| Buy and hold | -20.6% | -91.3% | 0.26 | -0.23 | 0.3x | 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) — 15-day volatility, 3.2× band
- Sell — Sell when price drops below the trend line (flips down)