Trend-Following Backtester · Guide · backtest 한국어
equity · KR
브이엠 backtest
10 trend-following strategies were compared on the full daily history of 브이엠. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 42.8%, MDD -31.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 27.6%, drawdown -80.8%).
Sharpe leader (same as main): Supertrend — CAGR 52.3%, MDD -43.6%, Sharpe 1.11, 59% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 24.8%p higher than buy and hold, while drawdown improves by 37.1%p (CAGR 42.8%, MDD -31.8%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=34, mult=4.5 |
52.3% | -43.6% | 1.11 | 1.20 | 29.3x | 18 | 59% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=24, mult=2.5 |
42.8% | -31.8% | 1.07 | 1.35 | 17.4x | 24 | 34% |
| 볼린저 밴드 돌파 n=51, k=1.8 |
38.7% | -53.4% | 0.98 | 0.73 | 13.8x | 32 | 38% |
| ROC 모멘텀 n=95, threshold=-0.04 |
39.1% | -57.7% | 0.90 | 0.68 | 14.1x | 43 | 62% |
| Donchian 채널 돌파 entryN=14, exitN=17 |
36.9% | -66.6% | 0.90 | 0.55 | 12.5x | 46 | 60% |
| ADX / DI 방향성 period=24, threshold=8 |
37.2% | -61.7% | 0.88 | 0.60 | 12.6x | 108 | 63% |
| SMA 크로스오버 fast=31, slow=111 |
31.3% | -57.7% | 0.80 | 0.54 | 8.9x | 23 | 54% |
| MACD fast=10, slow=22, signal=12 |
23.8% | -56.3% | 0.72 | 0.42 | 5.6x | 131 | 51% |
| Parabolic SAR step=0.005, maxStep=0.18 |
24.2% | -58.6% | 0.71 | 0.41 | 5.7x | 66 | 52% |
| EMA 크로스오버 fast=48, slow=87 |
22.9% | -64.2% | 0.66 | 0.36 | 5.2x | 17 | 59% |
| Buy and hold | 27.6% | -80.8% | 0.71 | 0.34 | 7.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 34-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)