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; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.5%, MDD -41.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.9%, drawdown -91.3%).
Sharpe leader (same as main): Supertrend — CAGR 21.3%, MDD -61.9%, Sharpe 0.61, 43% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 37.2%p higher than buy and hold, while drawdown improves by 29.4%p (CAGR 8.5%, MDD -41.5%, exposure 19%).
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=15, mult=3.2 |
21.3% | -61.9% | 0.61 | 0.34 | 2.9x | 35 | 43% |
| EMA 크로스오버 fast=18, slow=219 |
14.5% | -55.5% | 0.52 | 0.26 | 2.1x | 8 | 30% |
| MACD fast=11, slow=41, signal=17 |
9.1% | -70.2% | 0.46 | 0.13 | 1.6x | 95 | 48% |
| SMA 크로스오버 fast=31, slow=208 |
9.9% | -61.9% | 0.43 | 0.16 | 1.7x | 13 | 33% |
| ADX / DI 방향성 period=10, threshold=24 |
7.8% | -60.6% | 0.43 | 0.13 | 1.5x | 131 | 38% |
| 볼린저 밴드 돌파 n=33, k=1.4 |
7.8% | -66.1% | 0.41 | 0.12 | 1.5x | 59 | 33% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=23, mult=3.1 |
8.5% | -41.5% | 0.40 | 0.20 | 1.6x | 21 | 19% |
| ROC 모멘텀 n=102, threshold=0.12 |
7.6% | -57.8% | 0.39 | 0.13 | 1.5x | 59 | 32% |
| Donchian 채널 돌파 entryN=85, exitN=74 |
4.9% | -68.2% | 0.34 | 0.07 | 1.3x | 7 | 31% |
| Parabolic SAR step=0.015, maxStep=0.14 |
0.2% | -73.1% | 0.33 | 0.00 | 1.0x | 117 | 44% |
| Buy and hold | -15.9% | -91.3% | 0.32 | -0.17 | 0.4x | 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) — 15-day volatility, 3.2× band
- Sell — Sell when price drops below the trend line (flips down)