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 6.1%, MDD -57.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.6%, drawdown -93.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.1%, MDD -57.6%, Sharpe 0.37, 15% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 6.3%, MDD -73.6%, exposure 25%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.8%p higher than buy and hold, while drawdown improves by 36.2%p (CAGR 6.1%, 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 |
6.1% | -57.6% | 0.37 | 0.11 | 3.1x | 28 | 15% |
| ADX / DI 방향성 period=20, threshold=22 |
6.3% | -73.6% | 0.35 | 0.09 | 3.2x | 112 | 25% |
| EMA 크로스오버 fast=14, slow=148 |
5.4% | -65.4% | 0.33 | 0.08 | 2.7x | 48 | 40% |
| Donchian 채널 돌파 entryN=99, exitN=29 |
5.1% | -62.4% | 0.31 | 0.08 | 2.6x | 28 | 22% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=23, mult=1.9 |
4.9% | -66.8% | 0.31 | 0.07 | 2.5x | 100 | 29% |
| ROC 모멘텀 n=154, threshold=0.13 |
4.3% | -70.0% | 0.29 | 0.06 | 2.2x | 94 | 31% |
| SMA 크로스오버 fast=9, slow=163 |
3.0% | -72.1% | 0.27 | 0.04 | 1.8x | 54 | 42% |
| Supertrend period=18, mult=2.8 |
2.2% | -79.5% | 0.25 | 0.03 | 1.5x | 140 | 45% |
| MACD fast=23, slow=43, signal=11 |
1.7% | -85.9% | 0.24 | 0.02 | 1.4x | 207 | 50% |
| Parabolic SAR step=0.04, maxStep=0.32 |
-0.5% | -77.7% | 0.18 | -0.01 | 0.9x | 527 | 47% |
| Buy and hold | -7.6% | -93.8% | 0.13 | -0.08 | 0.2x | 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