Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vertical Aerospace Ltd. backtest
10 trend-following strategies were compared on the full daily history of Vertical Aerospace Ltd.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.1%, MDD -20.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -53.2%, drawdown -99.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.1%, MDD -20.6%, Sharpe 0.29, 1% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 57.3%p higher than buy and hold, while drawdown improves by 78.4%p (CAGR 4.1%, MDD -20.6%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=10, k=2.9 |
4.1% | -20.6% | 0.29 | 0.20 | 1.3x | 4 | 1% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-10.8% | -83.6% | 0.16 | -0.13 | 0.5x | 72 | 36% |
| ROC 모멘텀 n=7, threshold=0.14 |
-7.4% | -53.3% | 0.08 | -0.14 | 0.6x | 92 | 12% |
| Supertrend period=14, mult=2.6 |
-16.7% | -75.0% | 0.04 | -0.22 | 0.3x | 38 | 40% |
| MACD fast=14, slow=43, signal=11 |
-23.5% | -90.2% | 0.02 | -0.26 | 0.2x | 78 | 47% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=27, mult=2.3 |
-9.0% | -59.2% | 0.02 | -0.15 | 0.6x | 24 | 11% |
| Donchian 채널 돌파 entryN=20, exitN=34 |
-27.3% | -86.1% | -0.14 | -0.32 | 0.2x | 22 | 43% |
| ADX / DI 방향성 period=26, threshold=16 |
-30.6% | -89.1% | -0.27 | -0.34 | 0.1x | 36 | 26% |
| SMA 크로스오버 fast=6, slow=38 |
-36.1% | -92.6% | -0.41 | -0.39 | 0.1x | 50 | 36% |
| EMA 크로스오버 fast=16, slow=29 |
-40.0% | -95.1% | -0.55 | -0.42 | 0.1x | 40 | 36% |
| Buy and hold | -53.2% | -99.1% | -0.28 | -0.54 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 10-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 10-day middle average