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 Donchian 채널 돌파 (CAGR 38.4%, MDD -19.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -40.5%, drawdown -92.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 46.6%, MDD -22.7%, Sharpe 1.30, 9% exposure.
CAGR reference leader: MACD — CAGR 47.1%, MDD -44.2%, exposure 53%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 87.0%p higher than buy and hold, while drawdown improves by 69.8%p (CAGR 38.4%, MDD -19.3%, exposure 7%).
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=12, atrPeriod=27, mult=2.4 |
46.6% | -22.7% | 1.30 | 2.05 | 5.7x | 12 | 9% |
| ADX / DI 방향성 period=15, threshold=39 |
36.0% | -23.0% | 1.20 | 1.57 | 4.1x | 10 | 7% |
| Donchian 채널 돌파 entryN=96, exitN=6 |
38.4% | -19.3% | 1.16 | 1.99 | 4.4x | 8 | 7% |
| 볼린저 밴드 돌파 n=14, k=1.2 |
46.8% | -39.5% | 1.02 | 1.18 | 5.7x | 96 | 31% |
| MACD fast=16, slow=50, signal=18 |
47.1% | -44.2% | 0.93 | 1.07 | 5.8x | 49 | 53% |
| ROC 모멘텀 n=33, threshold=0.13 |
36.6% | -46.5% | 0.89 | 0.79 | 4.2x | 78 | 25% |
| Supertrend period=16, mult=2.1 |
34.9% | -56.8% | 0.83 | 0.61 | 3.9x | 57 | 35% |
| EMA 크로스오버 fast=7, slow=93 |
32.8% | -50.6% | 0.82 | 0.65 | 3.6x | 16 | 28% |
| SMA 크로스오버 fast=5, slow=122 |
32.6% | -53.2% | 0.82 | 0.61 | 3.6x | 14 | 29% |
| Parabolic SAR step=0.03, maxStep=0.16 |
-3.7% | -66.7% | 0.21 | -0.05 | 0.8x | 162 | 43% |
| Buy and hold | -40.5% | -92.6% | -0.20 | -0.44 | 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 12-day average + 2.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average