Trend-Following Backtester · Guide · backtest 한국어
equity · AT
Vienna Insurance Group AG backtest
10 trend-following strategies were compared on the full daily history of Vienna Insurance Group AG. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.7%, MDD -49.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.7%, drawdown -76.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.9%, MDD -14.5%, Sharpe 0.49, 3% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.9%, MDD -60.8%, exposure 80%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.8%p lower than buy and hold, while drawdown improves by 61.6%p (CAGR 5.7%, MDD -49.5%, exposure 58%).
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=3.5 |
2.9% | -14.5% | 0.49 | 0.20 | 2.1x | 14 | 3% |
| Donchian 채널 돌파 entryN=63, exitN=51 |
5.6% | -49.0% | 0.40 | 0.11 | 4.3x | 55 | 56% |
| EMA 크로스오버 fast=27, slow=115 |
5.7% | -49.5% | 0.39 | 0.11 | 4.3x | 65 | 58% |
| ROC 모멘텀 n=131, threshold=-0.09 |
5.9% | -60.8% | 0.38 | 0.10 | 4.6x | 127 | 80% |
| ADX / DI 방향성 period=31, threshold=30 |
1.8% | -11.2% | 0.37 | 0.17 | 1.6x | 16 | 5% |
| SMA 크로스오버 fast=22, slow=122 |
5.1% | -45.3% | 0.37 | 0.11 | 3.8x | 79 | 57% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=25, mult=3.7 |
3.0% | -36.4% | 0.31 | 0.08 | 2.2x | 64 | 22% |
| Supertrend period=14, mult=4.9 |
2.8% | -60.8% | 0.25 | 0.05 | 2.1x | 93 | 50% |
| Parabolic SAR step=0.01, maxStep=0.1 |
2.2% | -69.0% | 0.21 | 0.03 | 1.8x | 321 | 53% |
| MACD fast=17, slow=40, signal=14 |
0.3% | -70.4% | 0.11 | 0.00 | 1.1x | 335 | 51% |
| Buy and hold | 5.7% | -76.1% | 0.34 | 0.08 | 4.4x | 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 (3.5× volatility)
- Sell — Sell when the close falls back to the 24-day middle average