Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Vitrolife AB backtest
10 trend-following strategies were compared on the full daily history of Vitrolife AB. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 14.7%, MDD -51.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 12.5%, drawdown -85.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.8%, MDD -63.0%, Sharpe 0.69, 60% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 22.0%p (CAGR 14.7%, MDD -51.7%, exposure 55%).
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=20, slow=137 |
17.8% | -63.0% | 0.69 | 0.28 | 62.4x | 48 | 60% |
| EMA 크로스오버 fast=58, slow=105 |
15.8% | -59.5% | 0.64 | 0.27 | 40.9x | 34 | 61% |
| ROC 모멘텀 n=129, threshold=0.04 |
14.7% | -51.7% | 0.62 | 0.28 | 32.0x | 164 | 55% |
| Donchian 채널 돌파 entryN=77, exitN=50 |
13.6% | -66.3% | 0.59 | 0.21 | 25.3x | 42 | 53% |
| ADX / DI 방향성 period=44, threshold=15 |
9.5% | -45.2% | 0.54 | 0.21 | 9.9x | 86 | 27% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=24, mult=2.2 |
9.2% | -44.5% | 0.47 | 0.21 | 9.2x | 114 | 39% |
| 볼린저 밴드 돌파 n=37, k=1.7 |
7.9% | -52.4% | 0.43 | 0.15 | 6.8x | 162 | 39% |
| Supertrend period=8, mult=4.9 |
8.2% | -70.4% | 0.41 | 0.12 | 7.4x | 76 | 60% |
| Parabolic SAR step=0.005, maxStep=0.06 |
4.2% | -80.1% | 0.29 | 0.05 | 2.9x | 191 | 52% |
| MACD fast=19, slow=53, signal=21 |
1.0% | -82.0% | 0.19 | 0.01 | 1.3x | 263 | 50% |
| Buy and hold | 12.5% | -85.0% | 0.48 | 0.15 | 19.5x | 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 20-day average price crosses above the 137-day average
- Sell — Sell (to cash) when the 20-day average falls below the 137-day average