Trend-Following Backtester · Guide · backtest 한국어
equity · US
Victory Capital Holdings, Inc. Class A Common Stock backtest
10 trend-following strategies were compared on the full daily history of Victory Capital Holdings, Inc. Class A Common Stock. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 28.7%, drawdown -46.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 29.2%, MDD -38.7%, Sharpe 0.98, 76% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=23, exitN=76 |
29.2% | -38.7% | 0.98 | 0.76 | 8.8x | 11 | 76% |
| SMA 크로스오버 fast=32, slow=219 |
26.5% | -45.1% | 0.91 | 0.59 | 7.3x | 13 | 71% |
| ROC 모멘텀 n=67, threshold=-0.05 |
21.9% | -44.1% | 0.82 | 0.50 | 5.4x | 59 | 74% |
| EMA 크로스오버 fast=39, slow=247 |
23.4% | -45.1% | 0.81 | 0.52 | 5.9x | 9 | 76% |
| Supertrend period=29, mult=3.4 |
16.9% | -32.4% | 0.71 | 0.52 | 3.8x | 41 | 60% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=10, mult=1.2 |
15.5% | -34.4% | 0.68 | 0.45 | 3.4x | 53 | 55% |
| 볼린저 밴드 돌파 n=57, k=0.9 |
14.2% | -34.3% | 0.64 | 0.41 | 3.1x | 51 | 53% |
| Parabolic SAR step=0.02, maxStep=0.22 |
11.5% | -32.0% | 0.53 | 0.36 | 2.5x | 182 | 57% |
| ADX / DI 방향성 period=28, threshold=33 |
1.9% | -6.8% | 0.44 | 0.28 | 1.2x | 2 | 2% |
| MACD fast=13, slow=37, signal=4 |
5.9% | -46.8% | 0.35 | 0.13 | 1.6x | 206 | 51% |
| Buy and hold | 28.7% | -46.4% | 0.85 | 0.62 | 8.5x | 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 23 days
- Sell — Sell when price breaks below the lowest low of the last 76 days