Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vital Farms, Inc. backtest
10 trend-following strategies were compared on the full daily history of Vital Farms, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 17.5%, MDD -12.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.9%, drawdown -84.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 19.4%, MDD -14.0%, Sharpe 1.14, 8% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 37.3%p higher than buy and hold, while drawdown improves by 70.2%p (CAGR 17.5%, MDD -12.8%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=14, mult=2.9 |
19.4% | -14.0% | 1.14 | 1.38 | 2.9x | 6 | 8% |
| ADX / DI 방향성 period=10, threshold=44 |
17.5% | -12.8% | 1.06 | 1.37 | 2.7x | 10 | 9% |
| 볼린저 밴드 돌파 n=13, k=3 |
17.3% | -29.2% | 0.99 | 0.59 | 2.6x | 10 | 9% |
| Donchian 채널 돌파 entryN=67, exitN=6 |
16.5% | -18.7% | 0.88 | 0.88 | 2.5x | 18 | 15% |
| EMA 크로스오버 fast=4, slow=37 |
15.2% | -55.8% | 0.61 | 0.27 | 2.4x | 52 | 40% |
| Supertrend period=16, mult=4 |
14.0% | -42.3% | 0.56 | 0.33 | 2.2x | 18 | 42% |
| ROC 모멘텀 n=62, threshold=0.24 |
10.0% | -41.8% | 0.54 | 0.24 | 1.8x | 22 | 19% |
| SMA 크로스오버 fast=42, slow=99 |
12.2% | -46.1% | 0.52 | 0.26 | 2.0x | 11 | 38% |
| MACD fast=13, slow=56, signal=11 |
5.0% | -67.3% | 0.32 | 0.07 | 1.3x | 66 | 51% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-7.6% | -61.9% | -0.08 | -0.12 | 0.6x | 54 | 38% |
| Buy and hold | -17.9% | -84.2% | -0.10 | -0.21 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 11-day average + 2.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 11-day average