Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Visional, Inc. backtest
10 trend-following strategies were compared on the full daily history of Visional, Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.0%, MDD -21.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.7%, drawdown -50.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.3%, MDD -37.0%, Sharpe 0.63, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.5%p higher than buy and hold, while drawdown improves by 13.3%p (CAGR 10.0%, MDD -21.6%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=27, slow=51 |
16.3% | -37.0% | 0.63 | 0.44 | 2.2x | 25 | 49% |
| 볼린저 밴드 돌파 n=50, k=1.9 |
11.7% | -27.8% | 0.57 | 0.42 | 1.8x | 19 | 34% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=20, mult=2.4 |
10.0% | -21.6% | 0.54 | 0.46 | 1.7x | 21 | 26% |
| ROC 모멘텀 n=56, threshold=0.05 |
6.8% | -47.8% | 0.37 | 0.14 | 1.4x | 49 | 40% |
| ADX / DI 방향성 period=33, threshold=30 |
1.7% | -10.5% | 0.36 | 0.16 | 1.1x | 2 | 4% |
| EMA 크로스오버 fast=42, slow=79 |
5.8% | -37.1% | 0.34 | 0.16 | 1.4x | 15 | 43% |
| Donchian 채널 돌파 entryN=12, exitN=76 |
4.1% | -47.4% | 0.31 | 0.09 | 1.2x | 19 | 79% |
| Supertrend period=27, mult=4.9 |
2.3% | -41.7% | 0.23 | 0.05 | 1.1x | 17 | 47% |
| Parabolic SAR step=0.025, maxStep=0.26 |
-4.0% | -50.3% | 0.05 | -0.08 | 0.8x | 125 | 50% |
| MACD fast=18, slow=30, signal=14 |
-4.3% | -59.0% | 0.02 | -0.07 | 0.8x | 60 | 51% |
| Buy and hold | 5.7% | -50.3% | 0.36 | 0.11 | 1.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 27-day average price crosses above the 51-day average
- Sell — Sell (to cash) when the 27-day average falls below the 51-day average