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 78.9%, MDD -46.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 11.3%, drawdown -98.2%).
Sharpe leader (same as main): Supertrend — CAGR 123.3%, MDD -47.7%, Sharpe 1.49, 34% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 112.0%p higher than buy and hold, while drawdown improves by 50.4%p (CAGR 78.9%, MDD -46.2%, exposure 22%).
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=24, mult=3.2 |
123.3% | -47.7% | 1.49 | 2.58 | 170.5x | 35 | 34% |
| 볼린저 밴드 돌파 n=26, k=1.1 |
117.6% | -66.7% | 1.48 | 1.76 | 144.8x | 77 | 33% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=28, mult=1.5 |
104.0% | -53.1% | 1.43 | 1.96 | 95.8x | 49 | 23% |
| SMA 크로스오버 fast=7, slow=42 |
117.5% | -66.7% | 1.42 | 1.76 | 144.4x | 61 | 40% |
| EMA 크로스오버 fast=9, slow=24 |
115.9% | -76.9% | 1.41 | 1.51 | 137.5x | 67 | 40% |
| ROC 모멘텀 n=37, threshold=0.12 |
107.7% | -59.6% | 1.38 | 1.81 | 107.3x | 57 | 29% |
| ADX / DI 방향성 period=17, threshold=22 |
98.2% | -51.8% | 1.37 | 1.90 | 79.6x | 65 | 27% |
| Parabolic SAR step=0.01, maxStep=0.14 |
97.8% | -69.3% | 1.32 | 1.41 | 78.6x | 109 | 42% |
| Donchian 채널 돌파 entryN=34, exitN=7 |
78.9% | -46.2% | 1.22 | 1.71 | 41.3x | 39 | 22% |
| MACD fast=29, slow=65, signal=17 |
69.8% | -78.2% | 1.08 | 0.89 | 29.6x | 63 | 52% |
| Buy and hold | 11.3% | -98.2% | 0.59 | 0.11 | 2.0x | 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) — 24-day volatility, 3.2× band
- Sell — Sell when price drops below the trend line (flips down)