Trend-Following Backtester · Guide · backtest 한국어
equity · FR
VusionGroup S.A. backtest
10 trend-following strategies were compared on the full daily history of VusionGroup S.A.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 10.7%, drawdown -63.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.7%, MDD -59.6%, Sharpe 0.48, 59% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=59, slow=122 |
10.7% | -59.6% | 0.48 | 0.18 | 8.1x | 30 | 59% |
| SMA 크로스오버 fast=29, slow=218 |
9.9% | -59.6% | 0.46 | 0.17 | 6.9x | 32 | 57% |
| Donchian 채널 돌파 entryN=6, exitN=110 |
9.2% | -70.8% | 0.43 | 0.13 | 6.1x | 59 | 91% |
| ROC 모멘텀 n=190, threshold=0.12 |
7.3% | -61.4% | 0.40 | 0.12 | 4.2x | 92 | 44% |
| MACD fast=8, slow=52, signal=8 |
5.7% | -65.7% | 0.33 | 0.09 | 3.1x | 395 | 50% |
| Parabolic SAR step=0.03, maxStep=0.16 |
3.2% | -65.8% | 0.25 | 0.05 | 1.9x | 459 | 52% |
| Supertrend period=11, mult=1.5 |
1.4% | -69.4% | 0.21 | 0.02 | 1.3x | 381 | 52% |
| ADX / DI 방향성 period=15, threshold=11 |
0.3% | -77.7% | 0.18 | 0.00 | 1.1x | 379 | 52% |
| 볼린저 밴드 돌파 n=24, k=1.3 |
0.7% | -72.6% | 0.18 | 0.01 | 1.1x | 218 | 38% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=19, mult=0.7 |
-1.4% | -75.1% | 0.11 | -0.02 | 0.8x | 309 | 42% |
| Buy and hold | 10.7% | -63.2% | 0.46 | 0.17 | 8.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 122-day EMA
- Sell — Sell when the 59-day EMA falls below the 122-day EMA