Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Vallourec SA backtest
10 trend-following strategies were compared on the full daily history of Vallourec SA. 10 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 3.8%, MDD -28.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.0%, drawdown -99.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.5%, MDD -40.9%, Sharpe 0.46, 12% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.6%, MDD -76.0%, exposure 70%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 58.7%p (CAGR 3.8%, MDD -28.2%, exposure 4%).
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=33, k=3.1 |
5.5% | -40.9% | 0.46 | 0.13 | 4.2x | 40 | 12% |
| ADX / DI 방향성 period=39, threshold=19 |
6.5% | -68.0% | 0.44 | 0.10 | 5.4x | 48 | 15% |
| Donchian 채널 돌파 entryN=44, exitN=78 |
9.6% | -76.0% | 0.43 | 0.13 | 11.3x | 45 | 70% |
| SMA 크로스오버 fast=22, slow=139 |
8.8% | -80.0% | 0.43 | 0.11 | 9.3x | 62 | 54% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=28, mult=3.9 |
3.8% | -28.2% | 0.40 | 0.13 | 2.7x | 18 | 4% |
| EMA 크로스오버 fast=44, slow=85 |
7.6% | -80.8% | 0.39 | 0.09 | 7.0x | 60 | 54% |
| Supertrend period=9, mult=4.2 |
7.7% | -84.7% | 0.39 | 0.09 | 7.3x | 112 | 56% |
| Parabolic SAR step=0.015, maxStep=0.02 |
5.1% | -91.1% | 0.31 | 0.06 | 3.7x | 144 | 53% |
| ROC 모멘텀 n=90, threshold=0.02 |
4.1% | -91.0% | 0.28 | 0.05 | 2.9x | 241 | 54% |
| MACD fast=17, slow=41, signal=9 |
-0.9% | -94.5% | 0.14 | -0.01 | 0.8x | 389 | 51% |
| Buy and hold | -2.0% | -99.6% | 0.20 | -0.02 | 0.6x | 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 33-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 33-day middle average