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; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 14.8%, MDD -31.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -20.5%, drawdown -84.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 34.4%, MDD -33.8%, Sharpe 0.82, 32% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 54.9%p higher than buy and hold, while drawdown improves by 50.2%p (CAGR 14.8%, MDD -31.7%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=14, threshold=23 |
34.4% | -33.8% | 0.82 | 1.02 | 4.1x | 50 | 32% |
| 볼린저 밴드 돌파 n=15, k=2.9 |
20.8% | -32.0% | 0.75 | 0.65 | 2.5x | 12 | 7% |
| Donchian 채널 돌파 entryN=70, exitN=73 |
26.2% | -52.4% | 0.70 | 0.50 | 3.0x | 4 | 38% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=13, mult=3.7 |
14.8% | -31.7% | 0.62 | 0.47 | 1.9x | 4 | 8% |
| Supertrend period=8, mult=2.5 |
18.6% | -50.6% | 0.58 | 0.37 | 2.3x | 43 | 47% |
| EMA 크로스오버 fast=42, slow=100 |
15.4% | -51.1% | 0.53 | 0.30 | 2.0x | 10 | 39% |
| MACD fast=9, slow=54, signal=2 |
14.0% | -63.2% | 0.52 | 0.22 | 1.9x | 236 | 50% |
| SMA 크로스오버 fast=10, slow=47 |
10.9% | -61.1% | 0.46 | 0.18 | 1.6x | 39 | 43% |
| ROC 모멘텀 n=102, threshold=0.03 |
10.1% | -58.9% | 0.45 | 0.17 | 1.6x | 55 | 39% |
| Parabolic SAR step=0.01, maxStep=0.26 |
3.5% | -67.2% | 0.35 | 0.05 | 1.2x | 85 | 41% |
| Buy and hold | -20.5% | -84.0% | 0.20 | -0.24 | 0.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 14-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)