Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Virbac SA backtest
10 trend-following strategies were compared on the full daily history of Virbac SA. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.8%, MDD -62.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.3%, drawdown -78.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.8%, MDD -63.1%, Sharpe 0.35, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 15.5%p (CAGR 4.8%, MDD -62.9%, exposure 56%).
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=53, exitN=69 |
5.8% | -63.1% | 0.35 | 0.09 | 6.9x | 62 | 63% |
| SMA 크로스오버 fast=49, slow=200 |
4.8% | -62.9% | 0.31 | 0.08 | 4.9x | 48 | 56% |
| 볼린저 밴드 돌파 n=57, k=3.2 |
3.2% | -24.5% | 0.31 | 0.13 | 2.9x | 44 | 16% |
| ROC 모멘텀 n=143, threshold=-0.02 |
3.4% | -63.5% | 0.25 | 0.05 | 3.1x | 212 | 62% |
| EMA 크로스오버 fast=49, slow=214 |
3.1% | -73.5% | 0.25 | 0.04 | 2.9x | 46 | 58% |
| Supertrend period=25, mult=4.7 |
1.7% | -59.5% | 0.19 | 0.03 | 1.8x | 134 | 62% |
| ADX / DI 방향성 period=23, threshold=15 |
1.3% | -58.3% | 0.16 | 0.02 | 1.6x | 330 | 37% |
| MACD fast=31, slow=48, signal=30 |
-0.2% | -63.2% | 0.11 | -0.00 | 0.9x | 267 | 51% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=16, mult=4 |
0.3% | -55.6% | 0.09 | 0.01 | 1.1x | 92 | 25% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-3.5% | -81.3% | -0.04 | -0.04 | 0.3x | 536 | 54% |
| Buy and hold | 6.3% | -78.7% | 0.35 | 0.08 | 8.2x | 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 53 days
- Sell — Sell when price breaks below the lowest low of the last 69 days