Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
AAVE backtest
10 trend-following strategies were compared on the full daily history of AAVE. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 28.3%, MDD -37.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 23.4%, drawdown -92.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 28.3%, MDD -37.7%, Sharpe 0.83, 6% exposure.
CAGR reference leader: Supertrend — CAGR 41.6%, MDD -79.9%, exposure 48%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 54.3%p (CAGR 28.3%, MDD -37.7%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=24, k=3.2 |
28.3% | -37.7% | 0.83 | 0.75 | 4.3x | 11 | 6% |
| Supertrend period=14, mult=2.8 |
41.6% | -79.9% | 0.82 | 0.52 | 7.7x | 49 | 48% |
| ADX / DI 방향성 period=30, threshold=23 |
26.9% | -44.1% | 0.76 | 0.61 | 4.0x | 10 | 10% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=17, mult=2.8 |
26.3% | -42.5% | 0.71 | 0.62 | 3.9x | 21 | 14% |
| EMA 크로스오버 fast=18, slow=37 |
26.4% | -84.5% | 0.68 | 0.31 | 3.9x | 45 | 47% |
| MACD fast=13, slow=47, signal=11 |
25.5% | -77.0% | 0.67 | 0.33 | 3.8x | 117 | 48% |
| Parabolic SAR step=0.08, maxStep=0.24 |
25.2% | -79.8% | 0.67 | 0.32 | 3.7x | 373 | 49% |
| Donchian 채널 돌파 entryN=6, exitN=78 |
14.2% | -96.2% | 0.63 | 0.15 | 2.2x | 33 | 89% |
| ROC 모멘텀 n=60, threshold=0.14 |
22.3% | -79.7% | 0.62 | 0.28 | 3.3x | 87 | 33% |
| SMA 크로스오버 fast=17, slow=30 |
20.4% | -82.6% | 0.62 | 0.25 | 3.0x | 77 | 48% |
| Buy and hold | 23.4% | -92.0% | 0.73 | 0.25 | 3.4x | 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 24-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 24-day middle average