Trend-Following Backtester · Guide · backtest 한국어
equity · US
Veeva Systems Inc. backtest
10 trend-following strategies were compared on the full daily history of Veeva Systems Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 15.3%, MDD -47.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.1%, drawdown -61.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.3%, MDD -47.7%, Sharpe 0.62, 64% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 13.6%p (CAGR 15.3%, MDD -47.7%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=53, slow=202 |
15.3% | -47.7% | 0.62 | 0.32 | 6.2x | 15 | 64% |
| SMA 크로스오버 fast=59, slow=81 |
14.3% | -56.7% | 0.60 | 0.25 | 5.6x | 47 | 60% |
| Donchian 채널 돌파 entryN=22, exitN=70 |
15.1% | -48.9% | 0.59 | 0.31 | 6.1x | 29 | 78% |
| ADX / DI 방향성 period=15, threshold=40 |
3.1% | -12.5% | 0.47 | 0.25 | 1.5x | 7 | 3% |
| ROC 모멘텀 n=145, threshold=0.1 |
8.4% | -54.2% | 0.44 | 0.15 | 2.8x | 99 | 49% |
| Supertrend period=19, mult=2.3 |
5.7% | -47.4% | 0.34 | 0.12 | 2.0x | 135 | 56% |
| 볼린저 밴드 돌파 n=35, k=1.3 |
5.1% | -55.8% | 0.32 | 0.09 | 1.9x | 113 | 44% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=12, mult=4 |
3.6% | -24.5% | 0.32 | 0.15 | 1.6x | 29 | 21% |
| Parabolic SAR step=0.02, maxStep=0.12 |
3.5% | -53.0% | 0.26 | 0.07 | 1.6x | 253 | 54% |
| MACD fast=17, slow=47, signal=18 |
3.3% | -53.9% | 0.25 | 0.06 | 1.5x | 145 | 51% |
| Buy and hold | 17.1% | -61.4% | 0.59 | 0.28 | 7.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 53-day EMA crosses above the 202-day EMA
- Sell — Sell when the 53-day EMA falls below the 202-day EMA