Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Venture Corporation Limited backtest
10 trend-following strategies were compared on the full daily history of Venture Corporation Limited. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.3%, MDD -27.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.0%, drawdown -86.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.9%, MDD -30.5%, Sharpe 0.39, 15% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 4.1%, MDD -33.2%, exposure 26%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 56.5%p (CAGR 3.3%, MDD -27.0%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=42, threshold=19 |
3.9% | -30.5% | 0.39 | 0.13 | 2.8x | 38 | 15% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=24, mult=3.4 |
4.1% | -33.2% | 0.35 | 0.12 | 2.9x | 66 | 26% |
| 볼린저 밴드 돌파 n=57, k=3.1 |
3.3% | -27.0% | 0.33 | 0.12 | 2.4x | 32 | 16% |
| Donchian 채널 돌파 entryN=67, exitN=24 |
3.7% | -38.9% | 0.30 | 0.09 | 2.6x | 74 | 33% |
| SMA 크로스오버 fast=45, slow=174 |
3.3% | -51.2% | 0.27 | 0.06 | 2.4x | 41 | 49% |
| EMA 크로스오버 fast=35, slow=77 |
1.9% | -60.3% | 0.19 | 0.03 | 1.6x | 74 | 49% |
| ROC 모멘텀 n=141, threshold=0.1 |
1.3% | -49.5% | 0.16 | 0.03 | 1.4x | 146 | 28% |
| Supertrend period=20, mult=3.2 |
0.9% | -58.6% | 0.15 | 0.02 | 1.3x | 184 | 55% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-1.8% | -71.7% | 0.03 | -0.02 | 0.6x | 312 | 52% |
| MACD fast=17, slow=55, signal=10 |
-4.2% | -82.0% | -0.08 | -0.05 | 0.3x | 354 | 52% |
| Buy and hold | -1.0% | -86.9% | 0.14 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 42-day) is ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)