Trend-Following Backtester · Guide · backtest 한국어
equity · US
Velo3D, Inc. backtest
10 trend-following strategies were compared on the full daily history of Velo3D, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.9%, MDD -47.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -66.9%, drawdown -100.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 34.5%, MDD -57.6%, Sharpe 0.75, 15% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 101.4%p higher than buy and hold, while drawdown improves by 42.4%p (CAGR 8.9%, MDD -47.7%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=9, k=2.2 |
34.5% | -57.6% | 0.75 | 0.60 | 5.3x | 46 | 15% |
| Donchian 채널 돌파 entryN=17, exitN=7 |
19.5% | -60.4% | 0.61 | 0.32 | 2.7x | 38 | 27% |
| MACD fast=19, slow=29, signal=19 |
1.6% | -96.9% | 0.59 | 0.02 | 1.1x | 47 | 54% |
| ROC 모멘텀 n=139, threshold=0.04 |
19.9% | -69.7% | 0.59 | 0.29 | 2.8x | 24 | 18% |
| Supertrend period=9, mult=2.5 |
9.6% | -81.6% | 0.55 | 0.12 | 1.7x | 33 | 31% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=11, mult=3.6 |
8.9% | -47.7% | 0.39 | 0.19 | 1.6x | 4 | 3% |
| ADX / DI 방향성 period=10, threshold=19 |
-10.9% | -85.6% | 0.39 | -0.13 | 0.5x | 112 | 38% |
| SMA 크로스오버 fast=38, slow=211 |
0.5% | -72.4% | 0.31 | 0.01 | 1.0x | 4 | 14% |
| Parabolic SAR step=0.035, maxStep=0.26 |
-17.2% | -97.7% | 0.29 | -0.18 | 0.3x | 166 | 41% |
| EMA 크로스오버 fast=53, slow=99 |
-6.4% | -72.4% | 0.19 | -0.09 | 0.7x | 4 | 13% |
| Buy and hold | -66.9% | -100.0% | 0.02 | -0.67 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 9-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 9-day middle average