Trend-Following Backtester · Guide · backtest 한국어
equity · US
Visteon Corporation backtest
10 trend-following strategies were compared on the full daily history of Visteon Corporation. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.3%, MDD -36.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.8%, drawdown -70.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.3%, MDD -36.8%, Sharpe 0.40, 33% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.6%, MDD -48.0%, exposure 42%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 5.3%, MDD -36.8%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=94, exitN=43 |
5.3% | -36.8% | 0.40 | 0.14 | 2.3x | 26 | 33% |
| ROC 모멘텀 n=112, threshold=0.06 |
5.6% | -48.0% | 0.38 | 0.12 | 2.4x | 106 | 42% |
| Supertrend period=21, mult=2.8 |
5.0% | -67.8% | 0.32 | 0.07 | 2.1x | 112 | 53% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=23, mult=2.2 |
4.3% | -45.6% | 0.32 | 0.09 | 1.9x | 74 | 34% |
| SMA 크로스오버 fast=49, slow=114 |
4.6% | -53.8% | 0.31 | 0.09 | 2.0x | 37 | 52% |
| ADX / DI 방향성 period=23, threshold=35 |
1.2% | -14.7% | 0.25 | 0.08 | 1.2x | 8 | 3% |
| 볼린저 밴드 돌파 n=47, k=1.7 |
2.7% | -57.4% | 0.23 | 0.05 | 1.5x | 78 | 37% |
| EMA 크로스오버 fast=39, slow=214 |
1.8% | -58.3% | 0.21 | 0.03 | 1.3x | 19 | 54% |
| MACD fast=12, slow=23, signal=15 |
0.4% | -71.7% | 0.15 | 0.01 | 1.1x | 247 | 49% |
| Parabolic SAR step=0.005, maxStep=0.18 |
0.3% | -68.3% | 0.14 | 0.00 | 1.0x | 140 | 51% |
| Buy and hold | 3.8% | -70.9% | 0.30 | 0.05 | 1.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 94 days
- Sell — Sell when price breaks below the lowest low of the last 43 days