Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Vicat SA backtest
10 trend-following strategies were compared on the full daily history of Vicat SA. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.9%, MDD -42.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.2%, drawdown -82.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.2%, MDD -52.1%, Sharpe 0.52, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 30.5%p (CAGR 7.9%, MDD -42.9%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=37, slow=164 |
9.2% | -52.1% | 0.52 | 0.18 | 10.4x | 36 | 59% |
| Donchian 채널 돌파 entryN=26, exitN=70 |
9.1% | -53.0% | 0.48 | 0.17 | 10.1x | 59 | 70% |
| EMA 크로스오버 fast=50, slow=124 |
7.9% | -42.9% | 0.47 | 0.18 | 7.6x | 36 | 57% |
| ROC 모멘텀 n=100, threshold=-0.06 |
6.4% | -58.1% | 0.38 | 0.11 | 5.2x | 165 | 69% |
| Supertrend period=21, mult=5 |
5.0% | -46.0% | 0.34 | 0.11 | 3.7x | 76 | 55% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=29, mult=2.7 |
3.5% | -52.1% | 0.28 | 0.07 | 2.5x | 96 | 40% |
| 볼린저 밴드 돌파 n=28, k=2.3 |
1.6% | -45.6% | 0.18 | 0.04 | 1.5x | 162 | 27% |
| ADX / DI 방향성 period=24, threshold=14 |
1.3% | -45.1% | 0.16 | 0.03 | 1.4x | 250 | 40% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-0.1% | -68.1% | 0.10 | -0.00 | 1.0x | 227 | 49% |
| MACD fast=24, slow=32, signal=23 |
-1.5% | -79.0% | 0.03 | -0.02 | 0.7x | 272 | 47% |
| Buy and hold | 4.2% | -82.5% | 0.28 | 0.05 | 3.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 37-day average price crosses above the 164-day average
- Sell — Sell (to cash) when the 37-day average falls below the 164-day average