Trend-Following Backtester · Guide · backtest 한국어
etf · US
VIX Short-Term Futures ETF backtest
10 trend-following strategies were compared on the full daily history of VIX Short-Term Futures ETF. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -38.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -48.5%, drawdown -100.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.7%, MDD -45.5%, Sharpe 0.30, 2% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 53.2%p higher than buy and hold, while drawdown improves by 54.5%p (CAGR 0.2%, MDD -38.2%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=16, mult=3.8 |
4.7% | -45.5% | 0.30 | 0.10 | 2.0x | 12 | 2% |
| Donchian 채널 돌파 entryN=92, exitN=4 |
0.8% | -54.7% | 0.15 | 0.01 | 1.1x | 22 | 3% |
| ADX / DI 방향성 period=15, threshold=46 |
0.2% | -38.2% | 0.08 | 0.01 | 1.0x | 10 | 1% |
| 볼린저 밴드 돌파 n=54, k=3.2 |
-2.5% | -72.2% | 0.08 | -0.03 | 0.7x | 20 | 8% |
| EMA 크로스오버 fast=16, slow=152 |
-8.5% | -85.1% | -0.10 | -0.10 | 0.3x | 22 | 12% |
| ROC 모멘텀 n=75, threshold=0.09 |
-10.9% | -91.0% | -0.11 | -0.12 | 0.2x | 78 | 15% |
| SMA 크로스오버 fast=40, slow=90 |
-12.3% | -92.7% | -0.18 | -0.13 | 0.1x | 32 | 19% |
| Supertrend period=31, mult=5 |
-18.3% | -97.8% | -0.26 | -0.19 | 0.0x | 54 | 22% |
| MACD fast=28, slow=57, signal=21 |
-28.4% | -99.8% | -0.29 | -0.28 | 0.0x | 115 | 53% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-27.2% | -99.7% | -0.35 | -0.27 | 0.0x | 233 | 32% |
| Buy and hold | -48.5% | -100.0% | -0.62 | -0.49 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 9-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 9-day average