Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Verbio SE backtest
10 trend-following strategies were compared on the full daily history of Verbio SE. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 22.9%, MDD -43.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.3%, drawdown -95.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 22.4%, MDD -43.5%, Sharpe 0.86, 16% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 29.2%, MDD -63.0%, exposure 48%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 19.1%p higher than buy and hold, while drawdown improves by 51.8%p (CAGR 22.9%, MDD -43.1%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=46, k=3.5 |
22.4% | -43.5% | 0.86 | 0.52 | 54.9x | 20 | 16% |
| Donchian 채널 돌파 entryN=89, exitN=9 |
22.9% | -43.1% | 0.85 | 0.53 | 59.5x | 60 | 22% |
| EMA 크로스오버 fast=14, slow=93 |
29.2% | -63.0% | 0.82 | 0.46 | 158.3x | 50 | 48% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=35, mult=3.3 |
24.0% | -47.5% | 0.80 | 0.51 | 71.0x | 46 | 30% |
| SMA 크로스오버 fast=6, slow=108 |
27.5% | -68.9% | 0.78 | 0.40 | 121.6x | 60 | 49% |
| ADX / DI 방향성 period=28, threshold=26 |
17.0% | -50.6% | 0.77 | 0.33 | 22.2x | 30 | 12% |
| Supertrend period=14, mult=3.3 |
25.5% | -71.9% | 0.75 | 0.35 | 89.6x | 90 | 47% |
| ROC 모멘텀 n=88, threshold=0.02 |
22.6% | -75.1% | 0.69 | 0.30 | 56.0x | 138 | 49% |
| Parabolic SAR step=0.015, maxStep=0.28 |
11.1% | -72.3% | 0.46 | 0.15 | 8.0x | 310 | 50% |
| MACD fast=18, slow=34, signal=14 |
5.4% | -86.1% | 0.34 | 0.06 | 2.8x | 239 | 54% |
| Buy and hold | 3.3% | -95.3% | 0.36 | 0.03 | 1.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 46-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 46-day middle average