Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vishay Precision Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Vishay Precision Group, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.8%, MDD -12.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.6%, drawdown -82.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.2%, MDD -45.8%, Sharpe 0.48, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 37.1%p (CAGR 2.8%, MDD -12.0%, exposure 3%).
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=35, slow=182 |
10.2% | -45.8% | 0.48 | 0.22 | 4.8x | 25 | 52% |
| EMA 크로스오버 fast=47, slow=85 |
9.5% | -50.5% | 0.46 | 0.19 | 4.3x | 33 | 51% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=22, mult=3.6 |
2.8% | -12.0% | 0.39 | 0.23 | 1.5x | 12 | 3% |
| ROC 모멘텀 n=106, threshold=-0.03 |
7.2% | -60.3% | 0.38 | 0.12 | 3.1x | 121 | 60% |
| ADX / DI 방향성 period=11, threshold=42 |
4.5% | -33.0% | 0.37 | 0.14 | 2.0x | 46 | 6% |
| Donchian 채널 돌파 entryN=59, exitN=74 |
6.5% | -53.0% | 0.36 | 0.12 | 2.8x | 29 | 58% |
| Supertrend period=18, mult=3 |
3.8% | -70.4% | 0.27 | 0.05 | 1.8x | 110 | 54% |
| MACD fast=15, slow=50, signal=15 |
3.1% | -68.8% | 0.25 | 0.05 | 1.6x | 198 | 50% |
| 볼린저 밴드 돌파 n=48, k=0.8 |
1.2% | -70.9% | 0.18 | 0.02 | 1.2x | 138 | 47% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-6.5% | -92.3% | 0.07 | -0.07 | 0.3x | 248 | 49% |
| Buy and hold | 2.6% | -82.9% | 0.35 | 0.03 | 1.5x | 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 35-day average price crosses above the 182-day average
- Sell — Sell (to cash) when the 35-day average falls below the 182-day average