Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Vesuvius Plc backtest
10 trend-following strategies were compared on the full daily history of Vesuvius Plc. 9 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 -0.0%, MDD -16.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -14.7%, drawdown -100.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.3%, MDD -60.8%, Sharpe 0.30, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.0%p higher than buy and hold, while drawdown improves by 39.2%p (CAGR -0.0%, MDD -16.3%, exposure 1%).
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=70, exitN=37 |
5.3% | -60.8% | 0.30 | 0.09 | 7.2x | 80 | 46% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=21, mult=3.8 |
2.9% | -32.9% | 0.21 | 0.09 | 2.9x | 48 | 7% |
| Parabolic SAR step=0.005, maxStep=0.06 |
1.0% | -82.6% | 0.17 | 0.01 | 1.5x | 274 | 54% |
| MACD fast=16, slow=45, signal=22 |
0.5% | -84.4% | 0.16 | 0.01 | 1.2x | 378 | 48% |
| EMA 크로스오버 fast=36, slow=87 |
-7.9% | -99.5% | 0.16 | -0.08 | 0.0x | 80 | 54% |
| SMA 크로스오버 fast=42, slow=117 |
-9.1% | -99.8% | 0.16 | -0.09 | 0.0x | 87 | 52% |
| ROC 모멘텀 n=54, threshold=-0.07 |
-0.6% | -85.2% | 0.14 | -0.01 | 0.8x | 386 | 71% |
| Supertrend period=10, mult=4.9 |
-19.0% | -100.0% | 0.09 | -0.19 | 0.0x | 134 | 57% |
| 볼린저 밴드 돌파 n=51, k=1.1 |
-3.2% | -89.7% | 0.01 | -0.04 | 0.3x | 272 | 47% |
| ADX / DI 방향성 period=31, threshold=35 |
-0.0% | -16.3% | 0.01 | -0.00 | 1.0x | 8 | 1% |
| Buy and hold | -14.7% | -100.0% | 0.16 | -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 70 days
- Sell — Sell when price breaks below the lowest low of the last 37 days