Trend-Following Backtester · Guide · backtest 한국어
equity · US
VeriSign, Inc. backtest
10 trend-following strategies were compared on the full daily history of VeriSign, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 20.1%, MDD -61.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 14.3%, drawdown -98.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.1%, MDD -61.3%, Sharpe 0.68, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 37.0%p (CAGR 20.1%, MDD -61.3%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=37, slow=213 |
20.1% | -61.3% | 0.68 | 0.33 | 183.1x | 37 | 64% |
| EMA 크로스오버 fast=28, slow=190 |
19.8% | -65.2% | 0.68 | 0.30 | 172.9x | 39 | 64% |
| ROC 모멘텀 n=148, threshold=0.01 |
17.8% | -68.9% | 0.64 | 0.26 | 107.3x | 159 | 61% |
| Donchian 채널 돌파 entryN=84, exitN=116 |
17.5% | -65.8% | 0.62 | 0.27 | 99.4x | 29 | 65% |
| 볼린저 밴드 돌파 n=25, k=1.3 |
11.6% | -60.9% | 0.52 | 0.19 | 23.0x | 289 | 45% |
| Supertrend period=8, mult=3.2 |
12.3% | -74.9% | 0.51 | 0.16 | 27.5x | 169 | 57% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=26, mult=4 |
9.2% | -47.5% | 0.49 | 0.19 | 12.2x | 62 | 25% |
| Parabolic SAR step=0.005, maxStep=0.34 |
5.2% | -86.2% | 0.32 | 0.06 | 4.2x | 267 | 56% |
| ADX / DI 방향성 period=14, threshold=24 |
3.1% | -65.3% | 0.25 | 0.05 | 2.4x | 256 | 31% |
| MACD fast=15, slow=52, signal=17 |
1.1% | -91.3% | 0.21 | 0.01 | 1.4x | 363 | 52% |
| Buy and hold | 14.3% | -98.4% | 0.52 | 0.15 | 45.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 37-day average price crosses above the 213-day average
- Sell — Sell (to cash) when the 37-day average falls below the 213-day average