Trend-Following Backtester · Guide · backtest 한국어
equity · US
Verra Mobility Corporation backtest
10 trend-following strategies were compared on the full daily history of Verra Mobility Corporation. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.1%, MDD -12.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.3%, drawdown -87.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.8%, MDD -35.3%, Sharpe 0.39, 76% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.1%p higher than buy and hold, while drawdown improves by 52.2%p (CAGR 2.1%, MDD -12.0%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=145, threshold=-0.09 |
6.8% | -35.3% | 0.39 | 0.19 | 1.9x | 32 | 76% |
| 볼린저 밴드 돌파 n=31, k=3.4 |
2.1% | -12.0% | 0.32 | 0.17 | 1.2x | 8 | 6% |
| Donchian 채널 돌파 entryN=40, exitN=30 |
2.1% | -38.9% | 0.20 | 0.05 | 1.2x | 26 | 50% |
| SMA 크로스오버 fast=22, slow=179 |
1.9% | -53.3% | 0.20 | 0.04 | 1.2x | 16 | 60% |
| EMA 크로스오버 fast=16, slow=215 |
1.8% | -37.9% | 0.20 | 0.05 | 1.2x | 16 | 61% |
| Supertrend period=8, mult=3.9 |
0.8% | -32.2% | 0.15 | 0.03 | 1.1x | 37 | 63% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-1.8% | -38.8% | 0.04 | -0.05 | 0.8x | 81 | 49% |
| ADX / DI 방향성 period=16, threshold=19 |
-2.2% | -44.0% | -0.04 | -0.05 | 0.8x | 88 | 35% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=11, mult=2 |
-2.0% | -30.9% | -0.07 | -0.07 | 0.8x | 52 | 21% |
| MACD fast=19, slow=30, signal=11 |
-5.8% | -62.0% | -0.12 | -0.09 | 0.6x | 159 | 51% |
| Buy and hold | -8.3% | -87.5% | 0.09 | -0.10 | 0.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 145-day return is greater than -9%
- Sell — Sell when the 145-day return drops to -9% or below