Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vertiv Holdings, LLC backtest
10 trend-following strategies were compared on the full daily history of Vertiv Holdings, LLC. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 54.1%, MDD -33.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 49.5%, drawdown -71.2%).
Sharpe leader (same as main): Supertrend — CAGR 54.1%, MDD -33.5%, Sharpe 1.30, 76% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 57.2%, MDD -35.4%, exposure 78%.
Return/drawdown alternative: Supertrend — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 37.8%p (CAGR 54.1%, MDD -33.5%, exposure 76%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=4.1 |
54.1% | -33.5% | 1.30 | 1.62 | 33.0x | 18 | 76% |
| Donchian 채널 돌파 entryN=34, exitN=55 |
57.2% | -35.4% | 1.29 | 1.62 | 38.6x | 14 | 78% |
| SMA 크로스오버 fast=11, slow=92 |
54.4% | -50.9% | 1.26 | 1.07 | 33.4x | 20 | 74% |
| EMA 크로스오버 fast=9, slow=63 |
52.3% | -37.6% | 1.25 | 1.39 | 29.9x | 30 | 74% |
| ROC 모멘텀 n=130, threshold=-0.03 |
50.5% | -52.2% | 1.14 | 0.97 | 27.1x | 19 | 79% |
| Parabolic SAR step=0.01, maxStep=0.14 |
42.2% | -46.4% | 1.11 | 0.91 | 17.2x | 109 | 59% |
| 볼린저 밴드 돌파 n=34, k=1.1 |
38.3% | -34.1% | 1.11 | 1.12 | 13.7x | 84 | 55% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=25, mult=1.1 |
38.6% | -35.1% | 1.06 | 1.10 | 14.0x | 62 | 62% |
| ADX / DI 방향성 period=37, threshold=26 |
19.2% | -19.7% | 1.00 | 0.97 | 4.1x | 8 | 18% |
| MACD fast=17, slow=44, signal=16 |
30.5% | -64.2% | 0.93 | 0.48 | 8.6x | 100 | 53% |
| Buy and hold | 49.5% | -71.2% | 1.01 | 0.69 | 25.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)