Trend-Following Backtester · Guide · backtest 한국어
equity · CH
VAT Group AG backtest
10 trend-following strategies were compared on the full daily history of VAT Group AG. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 29.2%, MDD -29.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 26.9%, drawdown -59.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 29.8%, MDD -32.2%, Sharpe 1.09, 70% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 26.7%p (CAGR 29.2%, MDD -29.6%, exposure 68%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=49, slow=54 |
29.8% | -32.2% | 1.09 | 0.92 | 14.7x | 13 | 70% |
| Donchian 채널 돌파 entryN=57, exitN=64 |
29.2% | -29.6% | 1.08 | 0.99 | 14.0x | 11 | 68% |
| Supertrend period=21, mult=2.9 |
23.0% | -32.9% | 0.95 | 0.70 | 8.4x | 70 | 58% |
| 볼린저 밴드 돌파 n=26, k=1.2 |
21.2% | -39.1% | 0.95 | 0.54 | 7.2x | 102 | 47% |
| SMA 크로스오버 fast=21, slow=148 |
24.2% | -42.0% | 0.94 | 0.58 | 9.3x | 13 | 66% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=16, mult=1.6 |
18.0% | -24.4% | 0.89 | 0.74 | 5.5x | 78 | 39% |
| ROC 모멘텀 n=138, threshold=-0.01 |
23.0% | -40.6% | 0.89 | 0.57 | 8.4x | 43 | 68% |
| ADX / DI 방향성 period=38, threshold=18 |
12.4% | -28.3% | 0.82 | 0.44 | 3.3x | 26 | 26% |
| MACD fast=16, slow=43, signal=16 |
14.8% | -45.7% | 0.69 | 0.32 | 4.2x | 114 | 51% |
| Parabolic SAR step=0.005, maxStep=0.3 |
13.4% | -42.3% | 0.61 | 0.32 | 3.7x | 86 | 60% |
| Buy and hold | 26.9% | -59.0% | 0.85 | 0.46 | 11.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 49-day EMA crosses above the 54-day EMA
- Sell — Sell when the 49-day EMA falls below the 54-day EMA