Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vericel Corporation backtest
10 trend-following strategies were compared on the full daily history of Vericel Corporation. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
9 of 10 beat buy and hold (CAGR -10.7%, drawdown -99.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -1.8%, MDD -98.4%, Sharpe 0.32, 59% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 0.8%, MDD -96.0%, exposure 43%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=14, exitN=31 |
-1.8% | -98.4% | 0.32 | -0.02 | 0.6x | 144 | 59% |
| MACD fast=17, slow=31, signal=15 |
-2.6% | -99.3% | 0.31 | -0.03 | 0.5x | 368 | 51% |
| SMA 크로스오버 fast=26, slow=77 |
0.8% | -96.0% | 0.30 | 0.01 | 1.3x | 103 | 43% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-3.9% | -99.4% | 0.25 | -0.04 | 0.3x | 338 | 43% |
| EMA 크로스오버 fast=12, slow=189 |
-0.8% | -98.2% | 0.24 | -0.01 | 0.8x | 75 | 38% |
| 볼린저 밴드 돌파 n=27, k=1.2 |
-4.0% | -98.0% | 0.23 | -0.04 | 0.3x | 314 | 33% |
| ADX / DI 방향성 period=15, threshold=19 |
-5.8% | -97.4% | 0.22 | -0.06 | 0.2x | 318 | 38% |
| Supertrend period=16, mult=1.8 |
-5.0% | -99.1% | 0.20 | -0.05 | 0.2x | 342 | 38% |
| ROC 모멘텀 n=21, threshold=-0.02 |
-12.7% | -99.7% | 0.15 | -0.13 | 0.0x | 730 | 49% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=19, mult=1.3 |
-8.2% | -98.9% | 0.13 | -0.08 | 0.1x | 224 | 28% |
| Buy and hold | -10.7% | -99.9% | 0.33 | -0.11 | 0.0x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 31 days