Trend-Following Backtester · Guide · backtest 한국어
equity · US
Varex Imaging Corporation backtest
10 trend-following strategies were compared on the full daily history of Varex Imaging Corporation. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.9%, MDD -5.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR -8.9%, drawdown -84.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.1%, MDD -10.5%, Sharpe 0.46, 6% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.9%, MDD -28.8%, exposure 20%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.0%p higher than buy and hold, while drawdown improves by 73.7%p (CAGR 0.9%, MDD -5.0%, exposure 2%).
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=19, atrPeriod=16, mult=3.1 |
3.1% | -10.5% | 0.46 | 0.30 | 1.3x | 8 | 6% |
| Donchian 채널 돌파 entryN=62, exitN=7 |
5.9% | -28.8% | 0.42 | 0.20 | 1.7x | 26 | 20% |
| ADX / DI 방향성 period=14, threshold=30 |
4.9% | -20.7% | 0.38 | 0.24 | 1.6x | 30 | 13% |
| 볼린저 밴드 돌파 n=33, k=3.5 |
0.9% | -5.0% | 0.36 | 0.18 | 1.1x | 2 | 2% |
| ROC 모멘텀 n=54, threshold=0.14 |
2.4% | -27.6% | 0.22 | 0.09 | 1.2x | 66 | 20% |
| Supertrend period=9, mult=3.8 |
0.2% | -51.4% | 0.15 | 0.00 | 1.0x | 30 | 44% |
| SMA 크로스오버 fast=28, slow=176 |
-4.4% | -58.2% | -0.07 | -0.07 | 0.7x | 18 | 38% |
| EMA 크로스오버 fast=19, slow=129 |
-4.8% | -58.6% | -0.08 | -0.08 | 0.6x | 20 | 39% |
| MACD fast=19, slow=22, signal=19 |
-9.9% | -78.5% | -0.14 | -0.13 | 0.4x | 115 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-13.9% | -81.7% | -0.33 | -0.17 | 0.2x | 163 | 49% |
| Buy and hold | -8.9% | -84.2% | 0.03 | -0.11 | 0.4x | 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 19-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 19-day average