Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Aave backtest
10 trend-following strategies were compared on the full daily history of Aave. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 27.1%, MDD -41.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 19.7%, drawdown -92.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 41.5%, MDD -53.7%, Sharpe 0.98, 11% exposure.
CAGR reference leader: Supertrend — CAGR 56.1%, MDD -79.4%, exposure 41%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 21.8%p higher than buy and hold, while drawdown improves by 38.4%p (CAGR 27.1%, MDD -41.6%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=14, k=2.8 |
41.5% | -53.7% | 0.98 | 0.77 | 7.7x | 29 | 11% |
| Supertrend period=19, mult=3.2 |
56.1% | -79.4% | 0.96 | 0.71 | 13.7x | 39 | 41% |
| ADX / DI 방향성 period=9, threshold=29 |
45.6% | -46.6% | 0.91 | 0.98 | 9.1x | 105 | 25% |
| SMA 크로스오버 fast=13, slow=42 |
42.1% | -77.3% | 0.83 | 0.54 | 7.9x | 51 | 45% |
| ROC 모멘텀 n=35, threshold=0.11 |
35.3% | -71.1% | 0.78 | 0.50 | 5.9x | 125 | 34% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=21, mult=2.3 |
27.1% | -41.6% | 0.75 | 0.65 | 4.1x | 31 | 12% |
| EMA 크로스오버 fast=58, slow=73 |
29.7% | -76.1% | 0.72 | 0.39 | 4.6x | 15 | 41% |
| MACD fast=5, slow=39, signal=8 |
28.9% | -66.2% | 0.71 | 0.44 | 4.4x | 212 | 51% |
| Donchian 채널 돌파 entryN=75, exitN=77 |
25.6% | -75.2% | 0.68 | 0.34 | 3.8x | 7 | 51% |
| Parabolic SAR step=0.01, maxStep=0.12 |
18.2% | -78.9% | 0.59 | 0.23 | 2.7x | 107 | 44% |
| Buy and hold | 19.7% | -92.1% | 0.71 | 0.21 | 2.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 14-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 14-day middle average