Trend-Following Backtester · Guide · backtest 한국어
equity · US
Velo3D, Inc. backtest
10 trend-following strategies were compared on the full daily history of Velo3D, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.0%, MDD -47.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -68.4%, drawdown -100.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 35.0%, MDD -56.2%, Sharpe 0.76, 14% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 103.4%p higher than buy and hold, while drawdown improves by 43.8%p (CAGR 9.0%, MDD -47.7%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=9, k=2.2 |
35.0% | -56.2% | 0.76 | 0.62 | 5.2x | 44 | 14% |
| Donchian 채널 돌파 entryN=17, exitN=7 |
22.9% | -60.4% | 0.64 | 0.38 | 3.1x | 36 | 27% |
| ROC 모멘텀 n=139, threshold=0.04 |
24.3% | -63.6% | 0.64 | 0.38 | 3.3x | 20 | 18% |
| MACD fast=19, slow=29, signal=19 |
3.0% | -96.9% | 0.60 | 0.03 | 1.2x | 46 | 53% |
| Supertrend period=9, mult=2.5 |
12.7% | -78.7% | 0.58 | 0.16 | 1.9x | 32 | 30% |
| ADX / DI 방향성 period=10, threshold=19 |
-8.6% | -85.6% | 0.42 | -0.10 | 0.6x | 108 | 37% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=11, mult=3.6 |
9.0% | -47.7% | 0.40 | 0.19 | 1.6x | 4 | 3% |
| Parabolic SAR step=0.035, maxStep=0.26 |
-21.0% | -97.7% | 0.25 | -0.22 | 0.3x | 164 | 41% |
| SMA 크로스오버 fast=38, slow=211 |
-4.1% | -72.4% | 0.23 | -0.06 | 0.8x | 3 | 13% |
| EMA 크로스오버 fast=53, slow=99 |
-6.4% | -72.4% | 0.19 | -0.09 | 0.7x | 4 | 13% |
| Buy and hold | -68.4% | -100.0% | -0.01 | -0.68 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 9-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 9-day middle average