Trend-Following Backtester · Guide · backtest 한국어
equity · US
Village Farms International, Inc. backtest
10 trend-following strategies were compared on the full daily history of Village Farms International, Inc.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 15.9%, MDD -29.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -19.8%, drawdown -97.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 33.5%, MDD -38.1%, Sharpe 0.87, 18% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 53.3%p higher than buy and hold, while drawdown improves by 59.4%p (CAGR 15.9%, MDD -29.9%, exposure 7%).
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=51, k=2.6 |
33.5% | -38.1% | 0.87 | 0.88 | 8.6x | 10 | 18% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=25, mult=2.9 |
28.6% | -40.9% | 0.78 | 0.70 | 6.5x | 10 | 18% |
| SMA 크로스오버 fast=55, slow=164 |
30.1% | -59.3% | 0.76 | 0.51 | 7.1x | 6 | 35% |
| ROC 모멘텀 n=53, threshold=0.11 |
26.8% | -45.5% | 0.73 | 0.59 | 5.9x | 60 | 25% |
| Supertrend period=20, mult=3.8 |
26.7% | -63.2% | 0.70 | 0.42 | 5.8x | 18 | 26% |
| Donchian 채널 돌파 entryN=52, exitN=28 |
23.6% | -51.7% | 0.68 | 0.46 | 4.8x | 10 | 24% |
| ADX / DI 방향성 period=25, threshold=29 |
15.9% | -29.9% | 0.64 | 0.53 | 3.0x | 6 | 7% |
| EMA 크로스오버 fast=15, slow=49 |
16.9% | -70.7% | 0.55 | 0.24 | 3.2x | 26 | 30% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-0.5% | -91.6% | 0.28 | -0.01 | 1.0x | 98 | 40% |
| MACD fast=18, slow=31, signal=15 |
-20.2% | -93.2% | -0.07 | -0.22 | 0.2x | 89 | 50% |
| Buy and hold | -19.8% | -97.5% | 0.13 | -0.20 | 0.2x | 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 51-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 51-day middle average