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; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 109.8%, MDD -39.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.2%, drawdown -95.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 109.0%, MDD -41.5%, Sharpe 1.44, 10% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 114.4%, MDD -52.3%, exposure 24%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 103.8%p higher than buy and hold, while drawdown improves by 54.1%p (CAGR 109.8%, MDD -39.0%, exposure 14%).
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=12, threshold=37 |
109.0% | -41.5% | 1.44 | 2.63 | 79.6x | 26 | 10% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=22, mult=1.7 |
109.8% | -39.0% | 1.44 | 2.81 | 81.4x | 38 | 14% |
| 볼린저 밴드 돌파 n=11, k=2 |
114.4% | -52.3% | 1.39 | 2.19 | 92.6x | 96 | 24% |
| ROC 모멘텀 n=61, threshold=0.18 |
110.3% | -58.6% | 1.30 | 1.88 | 82.6x | 54 | 29% |
| Donchian 채널 돌파 entryN=59, exitN=6 |
95.8% | -56.2% | 1.29 | 1.71 | 54.1x | 26 | 15% |
| MACD fast=16, slow=64, signal=20 |
99.5% | -82.1% | 1.20 | 1.21 | 60.5x | 63 | 52% |
| Supertrend period=28, mult=4.4 |
88.9% | -68.6% | 1.18 | 1.30 | 43.7x | 21 | 32% |
| EMA 크로스오버 fast=12, slow=89 |
83.6% | -65.8% | 1.11 | 1.27 | 36.9x | 23 | 37% |
| SMA 크로스오버 fast=10, slow=21 |
74.1% | -76.9% | 1.05 | 0.96 | 26.9x | 97 | 44% |
| Parabolic SAR step=0.045, maxStep=0.24 |
60.8% | -81.5% | 0.95 | 0.75 | 16.8x | 276 | 48% |
| Buy and hold | 5.2% | -95.6% | 0.60 | 0.05 | 1.3x | 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, 12-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)