Trend-Following Backtester · Guide · backtest 한국어
etf · US
iPath Series B S&P 500 VIX Short-Term Futures ETN backtest
10 trend-following strategies were compared on the full daily history of iPath Series B S&P 500 VIX Short-Term Futures ETN. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.1%, MDD -45.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -40.6%, drawdown -99.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.1%, MDD -45.9%, Sharpe 0.37, 2% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 47.7%p higher than buy and hold, while drawdown improves by 53.6%p (CAGR 7.1%, MDD -45.9%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=14, mult=4 |
7.1% | -45.9% | 0.37 | 0.16 | 1.8x | 8 | 2% |
| 볼린저 밴드 돌파 n=37, k=3.5 |
-0.6% | -76.0% | 0.14 | -0.01 | 0.9x | 12 | 6% |
| ADX / DI 방향성 period=14, threshold=30 |
-2.6% | -67.8% | 0.13 | -0.04 | 0.8x | 30 | 12% |
| Donchian 채널 돌파 entryN=67, exitN=33 |
-3.0% | -77.2% | 0.11 | -0.04 | 0.8x | 10 | 13% |
| EMA 크로스오버 fast=11, slow=198 |
-4.1% | -72.2% | 0.04 | -0.06 | 0.7x | 10 | 10% |
| Supertrend period=35, mult=4.9 |
-7.9% | -75.8% | 0.04 | -0.10 | 0.5x | 24 | 21% |
| SMA 크로스오버 fast=28, slow=102 |
-6.5% | -65.6% | 0.03 | -0.10 | 0.6x | 16 | 19% |
| ROC 모멘텀 n=46, threshold=0.09 |
-8.7% | -85.5% | -0.00 | -0.10 | 0.5x | 86 | 14% |
| Parabolic SAR step=0.055, maxStep=0.24 |
-23.8% | -97.8% | -0.19 | -0.24 | 0.1x | 317 | 37% |
| MACD fast=11, slow=45, signal=6 |
-27.6% | -97.2% | -0.26 | -0.28 | 0.1x | 177 | 48% |
| Buy and hold | -40.6% | -99.5% | -0.36 | -0.41 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 12-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average