Trend-Following Backtester · Guide · backtest 한국어
equity · US
V2X, Inc. backtest
10 trend-following strategies were compared on the full daily history of V2X, Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 11.2%, drawdown -55.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.3%, MDD -58.8%, Sharpe 0.49, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 99% n=2, threshold=-0.09 |
12.3% | -58.8% | 0.49 | 0.21 | 4.0x | 43 | 99% |
| Donchian 채널 돌파 entryN=77, exitN=35 |
4.3% | -34.7% | 0.29 | 0.13 | 1.7x | 23 | 36% |
| Supertrend period=11, mult=1.6 |
3.3% | -57.5% | 0.26 | 0.06 | 1.5x | 176 | 50% |
| SMA 크로스오버 fast=46, slow=150 |
2.3% | -57.1% | 0.25 | 0.04 | 1.3x | 23 | 52% |
| Parabolic SAR step=0.01, maxStep=0.1 |
2.6% | -63.4% | 0.23 | 0.04 | 1.4x | 148 | 50% |
| EMA 크로스오버 fast=34, slow=38 |
0.9% | -51.3% | 0.19 | 0.02 | 1.1x | 45 | 58% |
| ADX / DI 방향성 period=9, threshold=35 |
1.1% | -53.7% | 0.15 | 0.02 | 1.1x | 90 | 19% |
| 볼린저 밴드 돌파 n=12, k=3 |
0.6% | -38.2% | 0.11 | 0.02 | 1.1x | 24 | 6% |
| MACD fast=14, slow=51, signal=18 |
-1.8% | -76.4% | 0.09 | -0.02 | 0.8x | 154 | 49% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=16, mult=2 |
-3.6% | -68.5% | -0.04 | -0.05 | 0.6x | 78 | 33% |
| Buy and hold | 11.2% | -55.9% | 0.47 | 0.20 | 3.6x | 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 2-day return is greater than -9%
- Sell — Sell when the 2-day return drops to -9% or below