Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Viridien backtest
10 trend-following strategies were compared on the full daily history of Viridien. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.7%, MDD -61.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.9%, drawdown -99.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.7%, MDD -93.9%, Sharpe 0.26, 74% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 3.6%, MDD -85.0%, exposure 36%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.6%p higher than buy and hold, while drawdown improves by 6.0%p (CAGR 2.7%, MDD -61.4%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=18, exitN=79 |
1.7% | -93.9% | 0.26 | 0.02 | 1.6x | 64 | 74% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=27, mult=2.2 |
3.6% | -85.0% | 0.26 | 0.04 | 2.6x | 98 | 36% |
| Supertrend period=12, mult=3.7 |
2.7% | -94.8% | 0.26 | 0.03 | 2.0x | 126 | 50% |
| ADX / DI 방향성 period=12, threshold=38 |
2.7% | -61.4% | 0.22 | 0.04 | 2.0x | 102 | 9% |
| SMA 크로스오버 fast=35, slow=68 |
0.6% | -87.7% | 0.20 | 0.01 | 1.2x | 96 | 50% |
| ROC 모멘텀 n=42, threshold=-0.01 |
0.2% | -87.8% | 0.19 | 0.00 | 1.1x | 372 | 52% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-0.4% | -95.2% | 0.18 | -0.00 | 0.9x | 203 | 49% |
| EMA 크로스오버 fast=43, slow=156 |
0.3% | -91.3% | 0.17 | 0.00 | 1.1x | 36 | 42% |
| 볼린저 밴드 돌파 n=34, k=2.9 |
0.2% | -64.3% | 0.11 | 0.00 | 1.1x | 56 | 14% |
| MACD fast=7, slow=55, signal=6 |
-5.6% | -96.5% | 0.07 | -0.06 | 0.2x | 649 | 52% |
| Buy and hold | -14.9% | -99.9% | 0.03 | -0.15 | 0.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 18 days
- Sell — Sell when price breaks below the lowest low of the last 79 days