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 75.9%, MDD -45.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 6.2%, drawdown -98.1%).
Sharpe leader (same as main): Supertrend — CAGR 116.7%, MDD -47.7%, Sharpe 1.45, 34% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 110.5%p higher than buy and hold, while drawdown improves by 50.4%p (CAGR 75.9%, MDD -45.2%, exposure 22%).
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=24, mult=3.2 |
116.7% | -47.7% | 1.45 | 2.44 | 131.8x | 34 | 34% |
| 볼린저 밴드 돌파 n=26, k=1.1 |
111.1% | -66.7% | 1.43 | 1.67 | 111.9x | 76 | 33% |
| SMA 크로스오버 fast=7, slow=42 |
113.9% | -66.7% | 1.39 | 1.71 | 121.7x | 60 | 41% |
| EMA 크로스오버 fast=9, slow=24 |
112.8% | -76.5% | 1.39 | 1.47 | 117.5x | 66 | 40% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=28, mult=1.5 |
97.8% | -53.1% | 1.38 | 1.84 | 74.1x | 48 | 23% |
| ROC 모멘텀 n=37, threshold=0.12 |
105.7% | -59.1% | 1.37 | 1.79 | 94.9x | 54 | 29% |
| ADX / DI 방향성 period=17, threshold=22 |
95.4% | -51.8% | 1.35 | 1.84 | 68.6x | 64 | 27% |
| Parabolic SAR step=0.01, maxStep=0.14 |
89.6% | -69.3% | 1.26 | 1.29 | 56.7x | 108 | 42% |
| Donchian 채널 돌파 entryN=34, exitN=7 |
75.9% | -45.2% | 1.20 | 1.68 | 35.4x | 38 | 22% |
| MACD fast=29, slow=65, signal=17 |
63.0% | -77.6% | 1.02 | 0.81 | 21.8x | 63 | 51% |
| Buy and hold | 6.2% | -98.1% | 0.54 | 0.06 | 1.5x | 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) — 24-day volatility, 3.2× band
- Sell — Sell when price drops below the trend line (flips down)