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 63.9%, MDD -45.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.9%, drawdown -97.9%).
Sharpe leader (same as main): Supertrend — CAGR 83.5%, MDD -63.1%, Sharpe 1.23, 37% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 97.4%p higher than buy and hold, while drawdown improves by 34.8%p (CAGR 63.9%, MDD -45.0%, exposure 17%).
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=16, mult=2.6 |
83.5% | -63.1% | 1.23 | 1.32 | 118.0x | 56 | 37% |
| EMA 크로스오버 fast=12, slow=18 |
78.3% | -73.4% | 1.14 | 1.07 | 94.4x | 80 | 41% |
| SMA 크로스오버 fast=6, slow=38 |
76.5% | -66.4% | 1.13 | 1.15 | 87.1x | 74 | 41% |
| Donchian 채널 돌파 entryN=34, exitN=5 |
63.9% | -45.0% | 1.12 | 1.42 | 48.6x | 48 | 17% |
| 볼린저 밴드 돌파 n=30, k=1.2 |
72.7% | -73.3% | 1.12 | 0.99 | 73.3x | 84 | 33% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=22, mult=2.4 |
64.6% | -54.8% | 1.11 | 1.18 | 50.3x | 32 | 22% |
| ROC 모멘텀 n=22, threshold=0.06 |
69.3% | -76.9% | 1.04 | 0.90 | 62.8x | 170 | 33% |
| MACD fast=18, slow=43, signal=18 |
64.6% | -71.4% | 0.98 | 0.91 | 50.3x | 101 | 54% |
| Parabolic SAR step=0.01, maxStep=0.34 |
61.6% | -78.9% | 0.98 | 0.78 | 43.5x | 128 | 41% |
| ADX / DI 방향성 period=18, threshold=19 |
46.8% | -69.3% | 0.90 | 0.68 | 20.5x | 90 | 34% |
| Buy and hold | -13.9% | -97.9% | 0.36 | -0.14 | 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) — 16-day volatility, 2.6× band
- Sell — Sell when price drops below the trend line (flips down)