Trend-Following Backtester · Guide · backtest 한국어
equity · KR
브이엠 backtest
10 trend-following strategies were compared on the full daily history of 브이엠. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 43.3%, MDD -31.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 30.3%, drawdown -80.8%).
Sharpe leader (same as main): Supertrend — CAGR 53.0%, MDD -43.6%, Sharpe 1.12, 60% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 22.7%p higher than buy and hold, while drawdown improves by 37.1%p (CAGR 43.3%, MDD -31.8%, exposure 34%).
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=34, mult=4.5 |
53.0% | -43.6% | 1.12 | 1.21 | 29.3x | 18 | 60% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=24, mult=2.5 |
43.3% | -31.8% | 1.08 | 1.36 | 17.4x | 24 | 34% |
| 볼린저 밴드 돌파 n=51, k=1.8 |
39.2% | -53.4% | 0.98 | 0.73 | 13.8x | 32 | 38% |
| ROC 모멘텀 n=95, threshold=-0.04 |
42.2% | -57.7% | 0.95 | 0.73 | 16.4x | 43 | 62% |
| Donchian 채널 돌파 entryN=14, exitN=17 |
37.4% | -66.6% | 0.91 | 0.56 | 12.5x | 46 | 61% |
| ADX / DI 방향성 period=24, threshold=8 |
37.6% | -61.7% | 0.89 | 0.61 | 12.6x | 108 | 64% |
| SMA 크로스오버 fast=31, slow=111 |
34.2% | -57.7% | 0.84 | 0.59 | 10.3x | 23 | 54% |
| MACD fast=10, slow=22, signal=12 |
28.1% | -56.3% | 0.80 | 0.50 | 7.2x | 130 | 51% |
| Parabolic SAR step=0.005, maxStep=0.18 |
24.5% | -58.6% | 0.72 | 0.42 | 5.7x | 66 | 53% |
| EMA 크로스오버 fast=48, slow=87 |
25.5% | -64.2% | 0.70 | 0.40 | 6.1x | 17 | 59% |
| Buy and hold | 30.3% | -80.8% | 0.74 | 0.38 | 8.2x | 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) — 34-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)