Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vicor Corporation backtest
10 trend-following strategies were compared on the full daily history of Vicor Corporation. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 23.7%, MDD -68.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 13.1%, drawdown -92.9%).
Sharpe leader (same as main): Supertrend — CAGR 23.7%, MDD -68.5%, Sharpe 0.72, 51% exposure.
Return/drawdown alternative: Supertrend — CAGR is 10.6%p higher than buy and hold, while drawdown improves by 24.4%p (CAGR 23.7%, MDD -68.5%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=21, mult=5 |
23.7% | -68.5% | 0.72 | 0.35 | 2269.1x | 80 | 51% |
| SMA 크로스오버 fast=23, slow=153 |
20.2% | -70.4% | 0.64 | 0.29 | 790.8x | 63 | 54% |
| EMA 크로스오버 fast=45, slow=64 |
19.5% | -71.1% | 0.63 | 0.27 | 653.9x | 71 | 54% |
| Donchian 채널 돌파 entryN=103, exitN=34 |
15.1% | -71.6% | 0.58 | 0.21 | 164.3x | 70 | 40% |
| 볼린저 밴드 돌파 n=56, k=1.8 |
14.1% | -73.2% | 0.54 | 0.19 | 119.7x | 156 | 40% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=10, mult=1.8 |
12.6% | -66.6% | 0.50 | 0.19 | 74.2x | 196 | 41% |
| ROC 모멘텀 n=140, threshold=0.07 |
12.8% | -78.8% | 0.49 | 0.16 | 78.3x | 261 | 50% |
| ADX / DI 방향성 period=25, threshold=30 |
6.6% | -42.0% | 0.47 | 0.16 | 10.1x | 50 | 10% |
| Parabolic SAR step=0.005, maxStep=0.24 |
3.8% | -94.9% | 0.29 | 0.04 | 3.9x | 308 | 52% |
| MACD fast=13, slow=40, signal=19 |
1.0% | -94.0% | 0.24 | 0.01 | 1.4x | 496 | 53% |
| Buy and hold | 13.1% | -92.9% | 0.50 | 0.14 | 86.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 21-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)