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. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.3%, MDD -18.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.4%, drawdown -67.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.9%, MDD -11.2%, Sharpe 0.72, 11% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.1%, MDD -23.2%, exposure 34%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 56.0%p (CAGR 3.3%, MDD -18.6%, exposure 15%).
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=28, k=3.5 |
2.9% | -11.2% | 0.72 | 0.26 | 2.3x | 30 | 11% |
| Donchian 채널 돌파 entryN=117, exitN=14 |
5.1% | -23.2% | 0.71 | 0.22 | 4.3x | 62 | 34% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=10, mult=3.3 |
3.3% | -18.6% | 0.59 | 0.18 | 2.6x | 40 | 15% |
| ADX / DI 방향성 period=29, threshold=23 |
3.2% | -17.5% | 0.49 | 0.18 | 2.5x | 74 | 19% |
| Supertrend period=26, mult=3.4 |
4.9% | -40.2% | 0.45 | 0.12 | 4.1x | 88 | 66% |
| EMA 크로스오버 fast=23, slow=83 |
4.2% | -38.1% | 0.41 | 0.11 | 3.3x | 62 | 61% |
| SMA 크로스오버 fast=17, slow=93 |
3.7% | -41.7% | 0.37 | 0.09 | 2.9x | 78 | 61% |
| Parabolic SAR step=0.005, maxStep=0.02 |
3.5% | -53.9% | 0.35 | 0.06 | 2.7x | 130 | 60% |
| MACD fast=25, slow=76, signal=31 |
3.1% | -46.0% | 0.32 | 0.07 | 2.5x | 171 | 49% |
| ROC 모멘텀 Hold-like · Exposure 98% n=20, threshold=-0.11 |
3.9% | -52.6% | 0.32 | 0.07 | 3.0x | 47 | 98% |
| Buy and hold | 3.4% | -67.2% | 0.28 | 0.05 | 2.6x | 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 28-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 28-day middle average