Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Vestas Wind Systems A/S backtest
10 trend-following strategies were compared on the full daily history of Vestas Wind Systems A/S. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.5%, MDD -28.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 5.1%, drawdown -96.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.4%, MDD -56.7%, Sharpe 0.66, 39% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.4%p higher than buy and hold, while drawdown improves by 39.9%p (CAGR 9.5%, MDD -28.8%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=108, exitN=52 |
15.4% | -56.7% | 0.66 | 0.27 | 43.6x | 33 | 39% |
| SMA 크로스오버 fast=6, slow=245 |
15.2% | -60.2% | 0.61 | 0.25 | 41.1x | 65 | 53% |
| 볼린저 밴드 돌파 n=57, k=3.5 |
9.5% | -28.8% | 0.61 | 0.33 | 10.8x | 25 | 15% |
| EMA 크로스오버 fast=43, slow=213 |
14.4% | -58.6% | 0.58 | 0.25 | 34.8x | 29 | 53% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=23, mult=3.6 |
11.1% | -64.4% | 0.57 | 0.17 | 15.9x | 65 | 29% |
| ROC 모멘텀 n=126, threshold=-0.02 |
11.4% | -59.2% | 0.49 | 0.19 | 17.0x | 191 | 56% |
| Supertrend period=13, mult=4.2 |
9.9% | -81.2% | 0.45 | 0.12 | 11.9x | 113 | 52% |
| Parabolic SAR step=0.005, maxStep=0.34 |
8.8% | -70.0% | 0.42 | 0.13 | 9.2x | 211 | 54% |
| ADX / DI 방향성 period=19, threshold=19 |
5.1% | -53.5% | 0.32 | 0.09 | 3.7x | 207 | 29% |
| MACD fast=12, slow=35, signal=19 |
0.7% | -85.3% | 0.20 | 0.01 | 1.2x | 365 | 51% |
| Buy and hold | 5.1% | -96.5% | 0.35 | 0.05 | 3.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 108 days
- Sell — Sell when price breaks below the lowest low of the last 52 days