Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Vaisala Oyj Class A backtest
10 trend-following strategies were compared on the full daily history of Vaisala Oyj Class A. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.1%, MDD -48.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.8%, drawdown -65.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.6%, MDD -9.6%, Sharpe 0.51, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.1%, MDD -48.1%, exposure 54%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.2%p lower than buy and hold, while drawdown improves by 55.9%p (CAGR 7.1%, MDD -48.1%, exposure 54%).
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=19, k=3.5 |
2.6% | -9.6% | 0.51 | 0.27 | 2.0x | 10 | 3% |
| SMA 크로스오버 fast=78, slow=140 |
7.1% | -48.1% | 0.42 | 0.15 | 6.2x | 51 | 54% |
| ADX / DI 방향성 period=21, threshold=35 |
1.5% | -11.2% | 0.32 | 0.14 | 1.5x | 26 | 3% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=8, mult=3.4 |
2.7% | -36.8% | 0.28 | 0.07 | 2.0x | 66 | 17% |
| EMA 크로스오버 fast=59, slow=204 |
3.5% | -47.3% | 0.26 | 0.07 | 2.5x | 41 | 55% |
| Donchian 채널 돌파 entryN=36, exitN=79 |
2.8% | -60.4% | 0.23 | 0.05 | 2.1x | 53 | 67% |
| Supertrend period=16, mult=3.4 |
1.1% | -59.3% | 0.15 | 0.02 | 1.3x | 147 | 51% |
| ROC 모멘텀 n=126, threshold=-0.03 |
-0.2% | -70.0% | 0.11 | -0.00 | 1.0x | 265 | 61% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-1.6% | -73.4% | 0.03 | -0.02 | 0.6x | 215 | 52% |
| MACD fast=19, slow=58, signal=20 |
-1.9% | -69.7% | 0.02 | -0.03 | 0.6x | 268 | 52% |
| Buy and hold | 6.8% | -65.5% | 0.37 | 0.10 | 5.8x | 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 19-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 19-day middle average