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; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 14.8%, MDD -31.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.2%, drawdown -84.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 33.3%, MDD -33.8%, Sharpe 0.80, 32% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 49.4%p higher than buy and hold, while drawdown improves by 50.2%p (CAGR 14.8%, MDD -31.7%, exposure 8%).
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=14, threshold=23 |
33.3% | -33.8% | 0.80 | 0.98 | 4.0x | 51 | 32% |
| 볼린저 밴드 돌파 n=15, k=2.9 |
20.7% | -32.0% | 0.74 | 0.65 | 2.5x | 13 | 7% |
| Donchian 채널 돌파 entryN=70, exitN=73 |
26.0% | -52.4% | 0.69 | 0.50 | 3.1x | 5 | 38% |
| Supertrend period=8, mult=2.5 |
22.3% | -50.6% | 0.63 | 0.44 | 2.6x | 45 | 47% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=13, mult=3.7 |
14.8% | -31.7% | 0.61 | 0.47 | 2.0x | 5 | 8% |
| MACD fast=9, slow=54, signal=2 |
17.7% | -63.2% | 0.57 | 0.28 | 2.2x | 242 | 50% |
| EMA 크로스오버 fast=42, slow=100 |
13.5% | -53.9% | 0.50 | 0.25 | 1.8x | 11 | 38% |
| ROC 모멘텀 n=102, threshold=0.03 |
10.0% | -58.9% | 0.44 | 0.17 | 1.6x | 57 | 39% |
| Parabolic SAR step=0.01, maxStep=0.26 |
7.5% | -67.2% | 0.41 | 0.11 | 1.4x | 87 | 41% |
| SMA 크로스오버 fast=10, slow=47 |
6.4% | -61.1% | 0.39 | 0.10 | 1.4x | 41 | 43% |
| Buy and hold | -16.2% | -84.0% | 0.26 | -0.19 | 0.4x | 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, 14-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)