Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vivakor, Inc. backtest
10 trend-following strategies were compared on the full daily history of Vivakor, Inc.. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
7 of 10 beat buy and hold (CAGR -58.6%, drawdown -100.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 2.3%, MDD -88.0%, Sharpe 0.53, 31% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 14.9%, MDD -90.6%, exposure 32%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=49, slow=150 |
2.3% | -88.0% | 0.53 | 0.03 | 1.5x | 20 | 31% |
| SMA 크로스오버 fast=50, slow=181 |
14.9% | -90.6% | 0.53 | 0.16 | 10.5x | 14 | 32% |
| Donchian 채널 돌파 entryN=107, exitN=78 |
-1.3% | -96.5% | 0.47 | -0.01 | 0.8x | 16 | 32% |
| ROC 모멘텀 n=118, threshold=0.09 |
-36.3% | -100.0% | 0.35 | -0.36 | 0.0x | 202 | 30% |
| MACD fast=22, slow=54, signal=35 |
-69.4% | -100.0% | 0.29 | -0.69 | 0.0x | 137 | 55% |
| ADX / DI 방향성 period=39, threshold=19 |
-27.6% | -99.9% | 0.11 | -0.28 | 0.0x | 40 | 17% |
| Supertrend period=9, mult=5 |
-68.6% | -100.0% | 0.06 | -0.69 | 0.0x | 80 | 49% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-73.6% | -100.0% | -0.01 | -0.74 | 0.0x | 236 | 39% |
| 볼린저 밴드 돌파 n=59, k=2.9 |
-34.4% | -99.9% | -0.16 | -0.34 | 0.0x | 32 | 11% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=22, mult=3.8 |
-38.1% | -100.0% | -0.26 | -0.38 | 0.0x | 34 | 7% |
| Buy and hold | -58.6% | -100.0% | 0.57 | -0.59 | 0.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 49-day EMA crosses above the 150-day EMA
- Sell — Sell when the 49-day EMA falls below the 150-day EMA