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 볼린저 밴드 돌파 (CAGR 27.7%, MDD -15.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -41.1%, drawdown -92.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 33.9%, MDD -18.2%, Sharpe 1.16, 6% exposure.
CAGR reference leader: Supertrend — CAGR 45.5%, MDD -52.7%, exposure 40%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 75.0%p higher than buy and hold, while drawdown improves by 74.4%p (CAGR 27.7%, MDD -15.2%, exposure 7%).
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=11, atrPeriod=29, mult=3.4 |
33.9% | -18.2% | 1.16 | 1.86 | 3.6x | 6 | 6% |
| Donchian 채널 돌파 entryN=101, exitN=7 |
39.3% | -21.5% | 1.14 | 1.83 | 4.3x | 8 | 8% |
| 볼린저 밴드 돌파 n=14, k=2.9 |
27.7% | -15.2% | 1.04 | 1.82 | 2.9x | 12 | 7% |
| ROC 모멘텀 n=30, threshold=0.08 |
44.9% | -45.8% | 0.99 | 0.98 | 5.1x | 82 | 28% |
| Supertrend period=8, mult=1.5 |
45.5% | -52.7% | 0.95 | 0.86 | 5.2x | 82 | 40% |
| MACD fast=16, slow=59, signal=15 |
44.3% | -54.5% | 0.90 | 0.81 | 5.0x | 51 | 53% |
| EMA 크로스오버 fast=32, slow=66 |
37.2% | -45.9% | 0.86 | 0.81 | 4.0x | 8 | 30% |
| SMA 크로스오버 fast=19, slow=80 |
30.4% | -51.9% | 0.75 | 0.59 | 3.2x | 16 | 35% |
| ADX / DI 방향성 period=32, threshold=16 |
14.7% | -48.2% | 0.52 | 0.30 | 1.8x | 30 | 22% |
| Parabolic SAR step=0.04, maxStep=0.36 |
10.4% | -73.8% | 0.45 | 0.14 | 1.5x | 188 | 45% |
| Buy and hold | -41.1% | -92.6% | -0.23 | -0.44 | 0.1x | 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 11-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 11-day average