Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Vercom SA backtest
10 trend-following strategies were compared on the full daily history of Vercom SA. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 24.3%, MDD -29.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 18.3%, drawdown -44.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.3%, MDD -29.0%, Sharpe 0.95, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 15.1%p (CAGR 24.3%, MDD -29.0%, exposure 53%).
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=75, slow=220 |
24.3% | -29.0% | 0.95 | 0.84 | 3.1x | 4 | 53% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=22, mult=3 |
16.0% | -28.2% | 0.86 | 0.57 | 2.2x | 10 | 27% |
| Supertrend period=17, mult=5 |
18.5% | -33.6% | 0.85 | 0.55 | 2.4x | 9 | 50% |
| Donchian 채널 돌파 entryN=74, exitN=65 |
18.6% | -36.4% | 0.84 | 0.51 | 2.4x | 4 | 42% |
| 볼린저 밴드 돌파 n=60, k=2.6 |
14.3% | -38.8% | 0.77 | 0.37 | 2.0x | 12 | 29% |
| ADX / DI 방향성 period=16, threshold=33 |
6.4% | -12.6% | 0.72 | 0.51 | 1.4x | 8 | 7% |
| ROC 모멘텀 n=74, threshold=0.14 |
11.3% | -29.3% | 0.66 | 0.38 | 1.7x | 40 | 25% |
| EMA 크로스오버 fast=52, slow=106 |
14.1% | -39.8% | 0.61 | 0.35 | 2.0x | 12 | 61% |
| Parabolic SAR step=0.035, maxStep=0.12 |
6.7% | -37.4% | 0.38 | 0.18 | 1.4x | 121 | 49% |
| MACD fast=17, slow=56, signal=12 |
-2.7% | -50.7% | 0.01 | -0.05 | 0.9x | 69 | 47% |
| Buy and hold | 18.3% | -44.1% | 0.66 | 0.42 | 2.4x | 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 75-day average price crosses above the 220-day average
- Sell — Sell (to cash) when the 75-day average falls below the 220-day average