Trend-Following Backtester · Guide · backtest 한국어
equity · US
VTEX backtest
10 trend-following strategies were compared on the full daily history of VTEX. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.1%, MDD -23.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -27.9%, drawdown -91.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.7%, MDD -40.5%, Sharpe 0.40, 22% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 34.6%p higher than buy and hold, while drawdown improves by 50.9%p (CAGR 3.1%, MDD -23.1%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=116, threshold=0.13 |
6.7% | -40.5% | 0.40 | 0.17 | 1.4x | 23 | 22% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=22, mult=1.8 |
5.1% | -33.9% | 0.33 | 0.15 | 1.3x | 13 | 26% |
| Donchian 채널 돌파 entryN=19, exitN=15 |
5.1% | -44.7% | 0.32 | 0.11 | 1.3x | 27 | 39% |
| ADX / DI 방향성 period=28, threshold=21 |
3.1% | -23.1% | 0.25 | 0.14 | 1.2x | 12 | 18% |
| Supertrend period=21, mult=3.1 |
-1.5% | -48.0% | 0.14 | -0.03 | 0.9x | 25 | 45% |
| SMA 크로스오버 fast=55, slow=174 |
-0.7% | -55.7% | 0.13 | -0.01 | 1.0x | 7 | 32% |
| EMA 크로스오버 fast=13, slow=131 |
-0.7% | -55.6% | 0.09 | -0.01 | 1.0x | 15 | 30% |
| 볼린저 밴드 돌파 n=23, k=2.3 |
-2.0% | -46.3% | 0.06 | -0.04 | 0.9x | 31 | 25% |
| MACD fast=18, slow=32, signal=27 |
-16.7% | -76.5% | -0.22 | -0.22 | 0.4x | 53 | 49% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-15.2% | -69.3% | -0.23 | -0.22 | 0.4x | 101 | 43% |
| Buy and hold | -27.9% | -91.4% | -0.23 | -0.31 | 0.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 116-day return is greater than 13%
- Sell — Sell when the 116-day return drops to 13% or below