Trend-Following Backtester · Guide · backtest 한국어
equity · GR
Viohalco SA/NV backtest
10 trend-following strategies were compared on the full daily history of Viohalco SA/NV. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 15.3%, MDD -38.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 11.8%, drawdown -80.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 25.9%, MDD -49.7%, Sharpe 0.94, 54% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.1%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR 15.3%, MDD -38.3%, exposure 31%).
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=72, slow=138 |
25.9% | -49.7% | 0.94 | 0.52 | 17.9x | 21 | 54% |
| Donchian 채널 돌파 entryN=116, exitN=60 |
18.3% | -47.6% | 0.81 | 0.39 | 8.2x | 15 | 41% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=19, mult=2.5 |
15.3% | -38.3% | 0.76 | 0.40 | 5.9x | 46 | 31% |
| EMA 크로스오버 fast=57, slow=168 |
16.9% | -50.3% | 0.71 | 0.34 | 7.1x | 17 | 55% |
| ROC 모멘텀 n=123, threshold=0.07 |
16.4% | -42.1% | 0.70 | 0.39 | 6.7x | 109 | 47% |
| 볼린저 밴드 돌파 n=56, k=1.5 |
15.0% | -47.2% | 0.69 | 0.32 | 5.8x | 50 | 37% |
| Supertrend period=20, mult=4.5 |
11.9% | -63.9% | 0.54 | 0.19 | 4.1x | 44 | 51% |
| ADX / DI 방향성 period=33, threshold=16 |
9.2% | -49.6% | 0.51 | 0.19 | 3.0x | 60 | 28% |
| MACD fast=14, slow=48, signal=10 |
8.2% | -66.6% | 0.42 | 0.12 | 2.7x | 182 | 51% |
| Parabolic SAR step=0.03, maxStep=0.4 |
8.0% | -60.3% | 0.41 | 0.13 | 2.6x | 318 | 53% |
| Buy and hold | 11.8% | -80.8% | 0.48 | 0.15 | 4.0x | 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 72-day average price crosses above the 138-day average
- Sell — Sell (to cash) when the 72-day average falls below the 138-day average