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 Keltner 채널 돌파 (CAGR 50.7%, MDD -17.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -42.1%, drawdown -92.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 50.7%, MDD -17.0%, Sharpe 1.38, 8% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 92.8%p higher than buy and hold, while drawdown improves by 75.6%p (CAGR 50.7%, MDD -17.0%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=27, mult=2.4 |
50.7% | -17.0% | 1.38 | 2.99 | 6.3x | 10 | 8% |
| ADX / DI 방향성 period=15, threshold=39 |
36.8% | -23.0% | 1.22 | 1.60 | 4.1x | 10 | 7% |
| Donchian 채널 돌파 entryN=96, exitN=6 |
39.2% | -19.3% | 1.17 | 2.04 | 4.4x | 8 | 7% |
| 볼린저 밴드 돌파 n=14, k=1.2 |
46.2% | -39.5% | 1.01 | 1.17 | 5.5x | 94 | 31% |
| ROC 모멘텀 n=33, threshold=0.13 |
39.2% | -43.5% | 0.93 | 0.90 | 4.4x | 76 | 25% |
| MACD fast=16, slow=50, signal=18 |
45.4% | -44.2% | 0.91 | 1.03 | 5.3x | 49 | 52% |
| Supertrend period=16, mult=2.1 |
36.0% | -56.8% | 0.84 | 0.63 | 4.0x | 56 | 35% |
| EMA 크로스오버 fast=7, slow=93 |
33.5% | -50.6% | 0.83 | 0.66 | 3.6x | 16 | 28% |
| SMA 크로스오버 fast=5, slow=122 |
33.3% | -53.2% | 0.82 | 0.63 | 3.6x | 14 | 30% |
| Parabolic SAR step=0.03, maxStep=0.16 |
-1.6% | -63.9% | 0.25 | -0.02 | 0.9x | 158 | 43% |
| Buy and hold | -42.1% | -92.6% | -0.23 | -0.46 | 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 12-day average + 2.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average