Trend-Following Backtester · Guide · backtest 한국어
equity · US
VinFast Auto Ltd. backtest
10 trend-following strategies were compared on the full daily history of VinFast Auto Ltd.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 19.0%, MDD -64.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -20.3%, drawdown -97.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.0%, MDD -64.3%, Sharpe 0.47, 13% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 39.3%p higher than buy and hold, while drawdown improves by 32.8%p (CAGR 19.0%, MDD -64.3%, exposure 13%).
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=83, exitN=4 |
19.0% | -64.3% | 0.47 | 0.30 | 2.4x | 30 | 13% |
| ROC 모멘텀 n=5, threshold=-0.11 |
10.2% | -82.0% | 0.47 | 0.12 | 1.6x | 47 | 94% |
| Supertrend period=3, mult=2.3 |
12.1% | -73.2% | 0.47 | 0.17 | 1.8x | 65 | 55% |
| MACD fast=11, slow=51, signal=11 |
10.1% | -77.8% | 0.46 | 0.13 | 1.6x | 83 | 48% |
| ADX / DI 방향성 period=13, threshold=27 |
7.9% | -83.1% | 0.43 | 0.09 | 1.5x | 33 | 32% |
| EMA 크로스오버 fast=8, slow=212 |
1.5% | -87.2% | 0.37 | 0.02 | 1.1x | 4 | 27% |
| SMA 크로스오버 fast=10, slow=29 |
-4.5% | -89.0% | 0.34 | -0.05 | 0.8x | 47 | 51% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=27, mult=2.2 |
-13.1% | -78.5% | 0.12 | -0.17 | 0.5x | 22 | 27% |
| Parabolic SAR step=0.03, maxStep=0.18 |
-14.5% | -80.0% | 0.12 | -0.18 | 0.5x | 104 | 50% |
| 볼린저 밴드 돌파 n=21, k=3.5 |
-12.8% | -76.8% | 0.12 | -0.17 | 0.5x | 14 | 10% |
| Buy and hold | -20.3% | -97.1% | 0.27 | -0.21 | 0.3x | 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 83 days
- Sell — Sell when price breaks below the lowest low of the last 4 days