Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Varroc Engineering Limited backtest
10 trend-following strategies were compared on the full daily history of Varroc Engineering Limited. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 11.2%, MDD -28.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.2%, drawdown -89.2%).
Sharpe leader (same as main): Supertrend — CAGR 19.6%, MDD -36.0%, Sharpe 0.71, 55% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 24.9%p higher than buy and hold, while drawdown improves by 53.2%p (CAGR 11.2%, MDD -28.8%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=11, mult=3.5 |
19.6% | -36.0% | 0.71 | 0.55 | 4.2x | 27 | 55% |
| EMA 크로스오버 fast=8, slow=25 |
15.3% | -36.4% | 0.61 | 0.42 | 3.2x | 63 | 48% |
| ADX / DI 방향성 period=29, threshold=22 |
11.2% | -28.8% | 0.61 | 0.39 | 2.4x | 20 | 20% |
| SMA 크로스오버 fast=12, slow=48 |
13.4% | -41.5% | 0.56 | 0.32 | 2.7x | 43 | 48% |
| 볼린저 밴드 돌파 n=45, k=1.4 |
11.9% | -36.2% | 0.55 | 0.33 | 2.5x | 43 | 38% |
| MACD fast=13, slow=36, signal=13 |
11.4% | -52.5% | 0.50 | 0.22 | 2.4x | 100 | 49% |
| ROC 모멘텀 n=79, threshold=0.17 |
9.3% | -35.2% | 0.49 | 0.26 | 2.0x | 49 | 26% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=18, mult=1 |
8.9% | -33.3% | 0.45 | 0.27 | 2.0x | 47 | 36% |
| Donchian 채널 돌파 entryN=59, exitN=33 |
7.6% | -51.5% | 0.41 | 0.15 | 1.8x | 19 | 35% |
| Parabolic SAR step=0.01, maxStep=0.38 |
3.8% | -50.0% | 0.28 | 0.08 | 1.3x | 105 | 49% |
| Buy and hold | -5.2% | -89.2% | 0.10 | -0.06 | 0.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 11-day volatility, 3.5× band
- Sell — Sell when price drops below the trend line (flips down)