Trend-Following Backtester · Guide · backtest 한국어
equity · US
Viatris Inc. backtest
10 trend-following strategies were compared on the full daily history of Viatris Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.4%, drawdown -90.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.7%, MDD -93.9%, Sharpe 0.28, 86% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=11, exitN=90 |
2.7% | -93.9% | 0.28 | 0.03 | 3.4x | 131 | 86% |
| SMA 크로스오버 fast=14, slow=96 |
0.9% | -88.4% | 0.21 | 0.01 | 1.6x | 173 | 53% |
| MACD fast=17, slow=31, signal=19 |
1.4% | -78.2% | 0.21 | 0.02 | 1.9x | 538 | 52% |
| EMA 크로스오버 fast=57, slow=159 |
0.2% | -89.6% | 0.19 | 0.00 | 1.1x | 73 | 52% |
| Supertrend period=8, mult=2.3 |
-0.9% | -92.3% | 0.15 | -0.01 | 0.7x | 464 | 54% |
| 볼린저 밴드 돌파 n=55, k=1.8 |
-0.8% | -89.0% | 0.13 | -0.01 | 0.7x | 200 | 35% |
| ADX / DI 방향성 period=35, threshold=29 |
0.5% | -19.0% | 0.13 | 0.03 | 1.3x | 8 | 1% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=9, mult=2.3 |
-2.2% | -89.4% | 0.07 | -0.02 | 0.4x | 216 | 35% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.8% | -92.0% | 0.06 | -0.04 | 0.2x | 354 | 52% |
| ROC 모멘텀 n=73, threshold=-0.02 |
-4.7% | -98.4% | 0.04 | -0.05 | 0.1x | 584 | 58% |
| Buy and hold | 5.4% | -90.5% | 0.35 | 0.06 | 11.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 11 days
- Sell — Sell when price breaks below the lowest low of the last 90 days