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 33.2%, MDD -18.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -39.1%, drawdown -92.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 33.2%, MDD -18.2%, Sharpe 1.14, 6% exposure.
CAGR reference leader: MACD — CAGR 46.6%, MDD -54.5%, exposure 54%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 72.3%p higher than buy and hold, while drawdown improves by 74.6%p (CAGR 33.2%, MDD -18.2%, exposure 6%).
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=11, atrPeriod=29, mult=3.4 |
33.2% | -18.2% | 1.14 | 1.82 | 3.6x | 6 | 6% |
| Donchian 채널 돌파 entryN=101, exitN=7 |
38.4% | -21.5% | 1.13 | 1.79 | 4.3x | 8 | 8% |
| 볼린저 밴드 돌파 n=14, k=2.9 |
25.4% | -19.5% | 0.97 | 1.30 | 2.8x | 14 | 7% |
| Supertrend period=8, mult=1.5 |
46.1% | -52.7% | 0.96 | 0.87 | 5.5x | 83 | 40% |
| ROC 모멘텀 n=30, threshold=0.08 |
42.2% | -49.2% | 0.96 | 0.86 | 4.8x | 85 | 28% |
| MACD fast=16, slow=59, signal=15 |
46.6% | -54.5% | 0.93 | 0.85 | 5.5x | 51 | 54% |
| EMA 크로스오버 fast=32, slow=66 |
36.3% | -45.9% | 0.86 | 0.79 | 4.0x | 8 | 30% |
| SMA 크로스오버 fast=19, slow=80 |
29.0% | -51.9% | 0.74 | 0.56 | 3.1x | 17 | 35% |
| ADX / DI 방향성 period=32, threshold=16 |
13.3% | -51.0% | 0.50 | 0.26 | 1.7x | 31 | 22% |
| Parabolic SAR step=0.04, maxStep=0.36 |
5.0% | -78.8% | 0.36 | 0.06 | 1.2x | 194 | 45% |
| Buy and hold | -39.1% | -92.8% | -0.20 | -0.42 | 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 11-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 11-day average