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 8.4%, MDD -21.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.1%, drawdown -50.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.7%, MDD -37.0%, Sharpe 0.58, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.6%p higher than buy and hold, while drawdown improves by 13.3%p (CAGR 8.4%, MDD -21.6%, exposure 25%).
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 |
14.7% | -37.0% | 0.58 | 0.40 | 2.1x | 25 | 48% |
| 볼린저 밴드 돌파 n=50, k=1.9 |
10.1% | -27.8% | 0.51 | 0.36 | 1.7x | 19 | 33% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=20, mult=2.4 |
8.4% | -21.6% | 0.47 | 0.39 | 1.5x | 21 | 25% |
| ADX / DI 방향성 period=33, threshold=30 |
1.7% | -10.5% | 0.37 | 0.17 | 1.1x | 2 | 4% |
| ROC 모멘텀 n=56, threshold=0.05 |
5.2% | -47.8% | 0.32 | 0.11 | 1.3x | 49 | 39% |
| EMA 크로스오버 fast=42, slow=79 |
4.2% | -37.1% | 0.29 | 0.11 | 1.2x | 15 | 42% |
| Donchian 채널 돌파 entryN=12, exitN=76 |
2.5% | -47.4% | 0.27 | 0.05 | 1.1x | 19 | 79% |
| Supertrend period=27, mult=4.9 |
0.7% | -41.7% | 0.18 | 0.02 | 1.0x | 17 | 46% |
| Parabolic SAR step=0.025, maxStep=0.26 |
-4.4% | -50.3% | 0.04 | -0.09 | 0.8x | 123 | 50% |
| MACD fast=18, slow=30, signal=14 |
-5.3% | -59.0% | -0.01 | -0.09 | 0.8x | 59 | 50% |
| Buy and hold | 4.1% | -50.3% | 0.33 | 0.08 | 1.2x | 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