Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vishay Intertechnology, Inc. backtest
10 trend-following strategies were compared on the full daily history of Vishay Intertechnology, Inc.. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.1%, MDD -71.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.4%, drawdown -96.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.9%, MDD -55.1%, Sharpe 0.45, 33% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.1%, MDD -71.8%, exposure 53%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 41.3%p (CAGR 9.1%, MDD -71.8%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=23, mult=3.2 |
7.9% | -55.1% | 0.45 | 0.14 | 34.6x | 158 | 33% |
| Donchian 채널 돌파 entryN=108, exitN=62 |
8.7% | -71.1% | 0.44 | 0.12 | 47.7x | 71 | 45% |
| SMA 크로스오버 fast=52, slow=184 |
9.1% | -71.8% | 0.44 | 0.13 | 56.2x | 71 | 53% |
| EMA 크로스오버 fast=32, slow=204 |
8.1% | -77.4% | 0.41 | 0.10 | 37.4x | 73 | 53% |
| Supertrend period=26, mult=4.7 |
7.8% | -70.8% | 0.40 | 0.11 | 32.8x | 188 | 56% |
| ADX / DI 방향성 period=30, threshold=12 |
5.7% | -72.6% | 0.34 | 0.08 | 13.3x | 444 | 41% |
| Parabolic SAR step=0.01, maxStep=0.12 |
5.9% | -71.5% | 0.34 | 0.08 | 14.3x | 598 | 53% |
| 볼린저 밴드 돌파 n=32, k=2.7 |
4.0% | -54.3% | 0.31 | 0.07 | 6.2x | 146 | 19% |
| ROC 모멘텀 n=72, threshold=0.08 |
4.9% | -77.8% | 0.31 | 0.06 | 9.1x | 511 | 41% |
| MACD fast=13, slow=45, signal=24 |
0.5% | -86.3% | 0.17 | 0.01 | 1.3x | 550 | 51% |
| Buy and hold | 9.4% | -96.4% | 0.42 | 0.10 | 64.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 60-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 60-day average