Trend-Following Backtester · Guide · backtest 한국어
equity · US
Datavault AI Inc. backtest
10 trend-following strategies were compared on the full daily history of Datavault AI Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.5%, MDD -48.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -85.1%, drawdown -100.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.4%, MDD -48.2%, Sharpe 0.31, 5% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 90.5%p higher than buy and hold, while drawdown improves by 51.8%p (CAGR 4.5%, MDD -48.2%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=62, exitN=9 |
5.4% | -48.2% | 0.31 | 0.11 | 1.5x | 8 | 5% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=20, mult=4 |
4.5% | -48.2% | 0.29 | 0.09 | 1.4x | 4 | 4% |
| 볼린저 밴드 돌파 n=38, k=3.5 |
4.0% | -66.3% | 0.28 | 0.06 | 1.4x | 6 | 4% |
| ADX / DI 방향성 period=22, threshold=29 |
2.2% | -60.2% | 0.25 | 0.04 | 1.2x | 12 | 6% |
| EMA 크로스오버 fast=13, slow=84 |
1.1% | -68.9% | 0.25 | 0.02 | 1.1x | 6 | 10% |
| ROC 모멘텀 n=81, threshold=0.01 |
-10.2% | -84.8% | 0.11 | -0.12 | 0.4x | 40 | 14% |
| SMA 크로스오버 fast=47, slow=185 |
-8.0% | -84.8% | 0.10 | -0.09 | 0.5x | 4 | 13% |
| Supertrend period=19, mult=4.6 |
-11.5% | -87.8% | 0.09 | -0.13 | 0.4x | 12 | 17% |
| MACD fast=19, slow=57, signal=19 |
-71.2% | -100.0% | -0.27 | -0.71 | 0.0x | 53 | 63% |
| Parabolic SAR step=0.04, maxStep=0.16 |
-54.5% | -99.9% | -0.44 | -0.55 | 0.0x | 198 | 33% |
| Buy and hold | -85.1% | -100.0% | -0.49 | -0.85 | 0.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 62 days
- Sell — Sell when price breaks below the lowest low of the last 9 days