Trend-Following Backtester · Guide · backtest 한국어

equity · US

Virgin Galactic Holdings, Inc. backtest

10 trend-following strategies were compared on the full daily history of Virgin Galactic Holdings, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 18.0%, MDD -60.5%).

Data 2017-09-29 ~ 2026-07-31daily bars 2,220 (8.8 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -39.1%, drawdown -99.8%).

Sharpe leader (same as main): Supertrend — CAGR 20.1%, MDD -80.5%, Sharpe 0.60, 37% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 59.2%p higher than buy and hold, while drawdown improves by 19.4%p (CAGR 18.0%, MDD -60.5%, exposure 10%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Supertrend
period=17, mult=2
20.1%-80.5%0.600.255.1x7637%
Keltner 채널 돌파
emaPeriod=9, atrPeriod=11, mult=1.8
18.0%-60.5%0.590.304.3x3810%
볼린저 밴드 돌파
n=13, k=2.1
13.7%-77.8%0.500.183.1x8223%
Parabolic SAR
step=0.015, maxStep=0.28
5.2%-94.5%0.380.061.6x14245%
ADX / DI 방향성
period=8, threshold=38
7.0%-75.8%0.380.091.8x6823%
EMA 크로스오버
fast=71, slow=221
6.4%-73.9%0.370.091.7x429%
Donchian 채널 돌파
entryN=102, exitN=59
2.0%-73.5%0.300.031.2x526%
MACD
fast=17, slow=57, signal=18
-6.4%-92.7%0.26-0.070.6x8251%
ROC 모멘텀
n=139, threshold=-0.03
-1.9%-81.5%0.25-0.020.8x4440%
SMA 크로스오버
fast=26, slow=212
-6.8%-89.0%0.12-0.080.5x1030%
Buy and hold-39.1%-99.8%-0.14-0.390.0x1100%
0.1 1x 10x 2018 2020 2022 2024 2026 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -25% -50% -75% -100% 2018 2020 2022 2024 2026 Buy and holdSupertrend
Supertrend maximum drawdown -80.5% (2021-06-25 → 2026-05-20), prior peak not yet recovered.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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