Trend-Following Backtester · Guide · backtest 한국어
equity · US
Viant Technology Inc. backtest
10 trend-following strategies were compared on the full daily history of Viant Technology Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.2%, MDD -30.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -22.6%, drawdown -95.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 29.8%, MDD -54.6%, Sharpe 0.81, 46% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 52.4%p higher than buy and hold, while drawdown improves by 40.7%p (CAGR 7.2%, MDD -30.7%, exposure 17%).
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=73, slow=179 |
29.8% | -54.6% | 0.81 | 0.55 | 4.2x | 3 | 46% |
| ROC 모멘텀 n=138, threshold=-0.04 |
24.4% | -54.6% | 0.72 | 0.45 | 3.3x | 13 | 47% |
| Donchian 채널 돌파 entryN=97, exitN=71 |
15.7% | -62.1% | 0.57 | 0.25 | 2.2x | 3 | 38% |
| EMA 크로스오버 fast=76, slow=157 |
15.1% | -56.4% | 0.56 | 0.27 | 2.2x | 3 | 36% |
| 볼린저 밴드 돌파 n=57, k=2.8 |
9.3% | -36.9% | 0.47 | 0.25 | 1.6x | 8 | 15% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=28, mult=3.8 |
7.2% | -30.7% | 0.39 | 0.23 | 1.5x | 10 | 17% |
| Supertrend period=18, mult=5 |
-1.3% | -83.1% | 0.22 | -0.02 | 0.9x | 11 | 53% |
| ADX / DI 방향성 period=16, threshold=19 |
1.1% | -50.0% | 0.20 | 0.02 | 1.1x | 52 | 29% |
| MACD fast=12, slow=34, signal=12 |
-7.9% | -77.4% | 0.06 | -0.10 | 0.6x | 80 | 55% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-16.5% | -77.4% | -0.16 | -0.21 | 0.4x | 96 | 48% |
| Buy and hold | -22.6% | -95.3% | -0.02 | -0.24 | 0.2x | 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 73-day average price crosses above the 179-day average
- Sell — Sell (to cash) when the 73-day average falls below the 179-day average