Trend-Following Backtester · Guide · backtest 한국어
equity · US
Veeco Instruments Inc. backtest
10 trend-following strategies were compared on the full daily history of Veeco Instruments Inc.. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.6%, MDD -54.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.9%, drawdown -96.7%).
Sharpe leader (same as main): Supertrend — CAGR 12.6%, MDD -75.1%, Sharpe 0.50, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 21.6%p (CAGR 6.6%, MDD -54.0%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=24, mult=5 |
12.6% | -75.1% | 0.50 | 0.17 | 43.3x | 88 | 46% |
| SMA 크로스오버 fast=21, slow=72 |
10.7% | -90.5% | 0.45 | 0.12 | 25.3x | 112 | 54% |
| Donchian 채널 돌파 entryN=62, exitN=31 |
9.7% | -76.7% | 0.43 | 0.13 | 18.7x | 86 | 41% |
| ROC 모멘텀 n=75, threshold=0.03 |
7.6% | -84.8% | 0.38 | 0.09 | 10.2x | 345 | 48% |
| ADX / DI 방향성 period=39, threshold=15 |
6.6% | -54.0% | 0.36 | 0.12 | 7.6x | 112 | 25% |
| 볼린저 밴드 돌파 n=75, k=1.1 |
6.7% | -76.7% | 0.36 | 0.09 | 7.8x | 156 | 42% |
| EMA 크로스오버 fast=29, slow=126 |
6.1% | -80.9% | 0.35 | 0.08 | 6.5x | 65 | 48% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=12, mult=1.3 |
4.7% | -84.9% | 0.31 | 0.06 | 4.3x | 228 | 42% |
| MACD fast=15, slow=56, signal=9 |
-4.5% | -96.5% | 0.11 | -0.05 | 0.2x | 492 | 54% |
| Parabolic SAR step=0.005, maxStep=0.44 |
-4.0% | -97.2% | 0.11 | -0.04 | 0.3x | 284 | 51% |
| Buy and hold | 4.9% | -96.7% | 0.39 | 0.05 | 4.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 24-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)