Trend-Following Backtester · Guide · backtest 한국어
equity · CH
VAT Group AG backtest
10 trend-following strategies were compared on the full daily history of VAT Group AG. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 28.3%, MDD -27.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 27.9%, drawdown -59.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 29.3%, MDD -32.2%, Sharpe 1.08, 69% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 26.7%p (CAGR 28.3%, MDD -27.6%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=42, slow=63 |
29.3% | -32.2% | 1.08 | 0.91 | 14.7x | 15 | 69% |
| Donchian 채널 돌파 entryN=59, exitN=56 |
28.3% | -27.6% | 1.08 | 1.02 | 13.6x | 14 | 64% |
| ROC 모멘텀 n=99, threshold=-0.01 |
29.2% | -30.8% | 1.06 | 0.95 | 14.6x | 53 | 68% |
| SMA 크로스오버 fast=20, slow=138 |
26.3% | -37.9% | 0.99 | 0.69 | 11.5x | 13 | 67% |
| Supertrend period=15, mult=2.9 |
24.2% | -33.4% | 0.99 | 0.72 | 9.6x | 69 | 58% |
| 볼린저 밴드 돌파 n=26, k=1.2 |
21.6% | -39.1% | 0.97 | 0.55 | 7.7x | 103 | 47% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=11, mult=1.5 |
19.3% | -28.7% | 0.94 | 0.67 | 6.3x | 81 | 39% |
| ADX / DI 방향성 period=25, threshold=27 |
9.9% | -20.5% | 0.88 | 0.48 | 2.7x | 20 | 15% |
| Parabolic SAR step=0.025, maxStep=0.08 |
18.4% | -37.5% | 0.79 | 0.49 | 5.8x | 179 | 60% |
| MACD fast=18, slow=39, signal=15 |
14.0% | -46.0% | 0.66 | 0.31 | 3.9x | 117 | 51% |
| Buy and hold | 27.9% | -59.0% | 0.87 | 0.47 | 13.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 42-day EMA crosses above the 63-day EMA
- Sell — Sell when the 42-day EMA falls below the 63-day EMA