Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Valneva SE backtest
10 trend-following strategies were compared on the full daily history of Valneva SE. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.6%, MDD -57.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.5%, drawdown -93.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.6%, MDD -57.6%, Sharpe 0.38, 15% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.0%p higher than buy and hold, while drawdown improves by 36.2%p (CAGR 6.6%, MDD -57.6%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=48, k=3.1 |
6.6% | -57.6% | 0.38 | 0.11 | 3.4x | 29 | 15% |
| ADX / DI 방향성 period=20, threshold=22 |
5.7% | -73.6% | 0.33 | 0.08 | 2.9x | 113 | 25% |
| EMA 크로스오버 fast=14, slow=148 |
5.4% | -65.4% | 0.33 | 0.08 | 2.7x | 48 | 40% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=23, mult=1.9 |
5.3% | -66.8% | 0.32 | 0.08 | 2.7x | 101 | 29% |
| Donchian 채널 돌파 entryN=99, exitN=29 |
4.5% | -62.6% | 0.30 | 0.07 | 2.3x | 29 | 22% |
| ROC 모멘텀 n=154, threshold=0.13 |
4.3% | -70.0% | 0.29 | 0.06 | 2.2x | 94 | 30% |
| SMA 크로스오버 fast=9, slow=163 |
3.0% | -72.1% | 0.27 | 0.04 | 1.8x | 54 | 42% |
| Supertrend period=18, mult=2.8 |
3.0% | -79.5% | 0.27 | 0.04 | 1.8x | 141 | 45% |
| MACD fast=23, slow=43, signal=11 |
3.0% | -85.9% | 0.27 | 0.03 | 1.8x | 207 | 51% |
| Parabolic SAR step=0.04, maxStep=0.32 |
-0.4% | -77.7% | 0.18 | -0.00 | 0.9x | 529 | 47% |
| Buy and hold | -6.5% | -93.8% | 0.15 | -0.07 | 0.3x | 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 48-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 48-day middle average