Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Valiant Holding AG backtest
10 trend-following strategies were compared on the full daily history of Valiant Holding AG. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.2%, MDD -17.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.5%, drawdown -67.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.2%, MDD -17.8%, Sharpe 0.71, 29% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.7%, MDD -21.9%, exposure 40%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 49.4%p (CAGR 5.2%, MDD -17.8%, exposure 29%).
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=55, k=2.7 |
5.2% | -17.8% | 0.71 | 0.29 | 4.3x | 56 | 29% |
| Donchian 채널 돌파 entryN=114, exitN=23 |
5.7% | -21.9% | 0.70 | 0.26 | 5.0x | 48 | 40% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=25, mult=3.4 |
3.5% | -18.8% | 0.59 | 0.19 | 2.7x | 42 | 15% |
| ADX / DI 방향성 period=18, threshold=47 |
1.6% | -5.6% | 0.50 | 0.28 | 1.6x | 18 | 5% |
| Supertrend period=25, mult=3.4 |
4.9% | -40.5% | 0.45 | 0.12 | 4.0x | 88 | 67% |
| EMA 크로스오버 fast=26, slow=85 |
4.0% | -41.4% | 0.40 | 0.10 | 3.1x | 58 | 61% |
| SMA 크로스오버 fast=11, slow=118 |
3.6% | -41.1% | 0.36 | 0.09 | 2.8x | 82 | 61% |
| MACD fast=52, slow=60, signal=17 |
3.2% | -48.6% | 0.33 | 0.07 | 2.5x | 174 | 49% |
| Parabolic SAR step=0.005, maxStep=0.24 |
1.3% | -56.6% | 0.16 | 0.02 | 1.4x | 218 | 58% |
| ROC 모멘텀 n=119, threshold=0.11 |
0.9% | -38.1% | 0.16 | 0.02 | 1.3x | 122 | 19% |
| Buy and hold | 3.5% | -67.2% | 0.29 | 0.05 | 2.7x | 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 55-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 55-day middle average