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 67.5%, MDD -45.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.3%, drawdown -98.0%).
Sharpe leader (same as main): Supertrend — CAGR 89.1%, MDD -63.1%, Sharpe 1.27, 37% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 99.4%p higher than buy and hold, while drawdown improves by 34.9%p (CAGR 67.5%, MDD -45.0%, exposure 18%).
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=16, mult=2.6 |
89.1% | -63.1% | 1.27 | 1.41 | 157.6x | 57 | 37% |
| EMA 크로스오버 fast=12, slow=18 |
82.1% | -73.4% | 1.17 | 1.12 | 117.1x | 81 | 41% |
| 볼린저 밴드 돌파 n=30, k=1.2 |
78.1% | -73.3% | 1.16 | 1.07 | 97.9x | 85 | 33% |
| SMA 크로스오버 fast=6, slow=38 |
79.8% | -66.4% | 1.16 | 1.20 | 106.0x | 75 | 41% |
| Donchian 채널 돌파 entryN=34, exitN=5 |
67.5% | -45.0% | 1.15 | 1.50 | 60.4x | 49 | 18% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=22, mult=2.4 |
68.2% | -54.8% | 1.14 | 1.25 | 62.4x | 33 | 22% |
| ROC 모멘텀 n=22, threshold=0.06 |
74.6% | -76.9% | 1.08 | 0.97 | 83.9x | 171 | 33% |
| MACD fast=18, slow=43, signal=18 |
69.6% | -72.7% | 1.02 | 0.96 | 66.5x | 103 | 54% |
| Parabolic SAR step=0.01, maxStep=0.34 |
66.8% | -78.9% | 1.02 | 0.85 | 58.2x | 129 | 41% |
| ADX / DI 방향성 period=18, threshold=19 |
49.9% | -69.3% | 0.92 | 0.72 | 24.9x | 91 | 34% |
| Buy and hold | -10.3% | -98.0% | 0.40 | -0.11 | 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) — 16-day volatility, 2.6× band
- Sell — Sell when price drops below the trend line (flips down)