Trend-Following Backtester · Guide · backtest 한국어
equity · US
Victory Capital Holdings, Inc. Class A Common Stock backtest
10 trend-following strategies were compared on the full daily history of Victory Capital Holdings, Inc. Class A Common Stock. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 31.1%, drawdown -46.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 31.6%, MDD -38.7%, Sharpe 1.04, 77% exposure.
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=23, exitN=76 |
31.6% | -38.7% | 1.04 | 0.82 | 10.5x | 11 | 77% |
| SMA 크로스오버 fast=32, slow=219 |
28.8% | -45.1% | 0.96 | 0.64 | 8.7x | 13 | 71% |
| ROC 모멘텀 n=67, threshold=-0.05 |
24.2% | -44.1% | 0.88 | 0.55 | 6.4x | 59 | 74% |
| EMA 크로스오버 fast=39, slow=247 |
25.6% | -45.1% | 0.87 | 0.57 | 7.1x | 9 | 76% |
| Supertrend period=29, mult=3.4 |
19.1% | -32.4% | 0.78 | 0.59 | 4.5x | 41 | 60% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=10, mult=1.2 |
17.8% | -34.4% | 0.75 | 0.52 | 4.0x | 53 | 56% |
| 볼린저 밴드 돌파 n=57, k=0.9 |
16.4% | -34.3% | 0.72 | 0.48 | 3.7x | 51 | 54% |
| Parabolic SAR step=0.02, maxStep=0.22 |
12.0% | -32.0% | 0.55 | 0.38 | 2.6x | 185 | 57% |
| ADX / DI 방향성 period=28, threshold=33 |
1.9% | -6.8% | 0.44 | 0.28 | 1.2x | 2 | 2% |
| MACD fast=13, slow=37, signal=4 |
5.5% | -46.8% | 0.33 | 0.12 | 1.6x | 212 | 51% |
| Buy and hold | 31.1% | -46.4% | 0.89 | 0.67 | 10.1x | 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 23 days
- Sell — Sell when price breaks below the lowest low of the last 76 days