Trend-Following Backtester · Guide · backtest 한국어
equity · US
Velocity Financial, Inc. backtest
10 trend-following strategies were compared on the full daily history of Velocity Financial, Inc.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 19.1%, MDD -27.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.0%, drawdown -83.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.6%, MDD -27.8%, Sharpe 0.74, 56% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 17.6%p higher than buy and hold, while drawdown improves by 55.3%p (CAGR 19.1%, MDD -27.7%, exposure 61%).
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=34, slow=175 |
21.6% | -27.8% | 0.74 | 0.78 | 3.6x | 8 | 56% |
| ROC 모멘텀 n=168, threshold=0.07 |
18.8% | -28.0% | 0.69 | 0.67 | 3.1x | 26 | 46% |
| Donchian 채널 돌파 entryN=54, exitN=62 |
19.1% | -27.7% | 0.66 | 0.69 | 3.1x | 8 | 61% |
| EMA 크로스오버 fast=39, slow=93 |
13.4% | -29.4% | 0.53 | 0.46 | 2.3x | 12 | 57% |
| Supertrend period=12, mult=4.5 |
11.4% | -47.5% | 0.46 | 0.24 | 2.0x | 14 | 69% |
| 볼린저 밴드 돌파 n=26, k=2.1 |
5.2% | -39.0% | 0.31 | 0.13 | 1.4x | 46 | 31% |
| ADX / DI 방향성 period=31, threshold=29 |
2.7% | -12.5% | 0.31 | 0.22 | 1.2x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=16, mult=1.3 |
4.0% | -41.5% | 0.28 | 0.10 | 1.3x | 48 | 34% |
| MACD fast=12, slow=48, signal=10 |
3.2% | -68.5% | 0.27 | 0.05 | 1.2x | 95 | 48% |
| Parabolic SAR step=0.025, maxStep=0.24 |
-18.6% | -81.8% | -0.23 | -0.23 | 0.3x | 151 | 50% |
| Buy and hold | 4.0% | -83.1% | 0.41 | 0.05 | 1.3x | 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 34-day average price crosses above the 175-day average
- Sell — Sell (to cash) when the 34-day average falls below the 175-day average