Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vertex, Inc. backtest
10 trend-following strategies were compared on the full daily history of Vertex, Inc.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.9%, MDD -28.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -8.3%, drawdown -82.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.5%, MDD -47.2%, Sharpe 0.64, 41% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 25.9%p higher than buy and hold, while drawdown improves by 34.9%p (CAGR 13.9%, MDD -28.7%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=50, slow=186 |
17.5% | -47.2% | 0.64 | 0.37 | 2.7x | 2 | 41% |
| ROC 모멘텀 n=172, threshold=0.01 |
15.8% | -44.0% | 0.60 | 0.36 | 2.4x | 16 | 41% |
| EMA 크로스오버 fast=7, slow=154 |
13.9% | -28.7% | 0.56 | 0.49 | 2.2x | 10 | 40% |
| Supertrend period=27, mult=5 |
9.4% | -45.9% | 0.43 | 0.20 | 1.7x | 11 | 49% |
| Donchian 채널 돌파 entryN=86, exitN=42 |
5.9% | -44.9% | 0.33 | 0.13 | 1.4x | 8 | 35% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=19, mult=2.5 |
3.9% | -30.0% | 0.30 | 0.13 | 1.3x | 14 | 13% |
| 볼린저 밴드 돌파 n=45, k=3.1 |
3.1% | -33.6% | 0.25 | 0.09 | 1.2x | 12 | 19% |
| ADX / DI 방향성 period=33, threshold=12 |
1.4% | -41.2% | 0.19 | 0.03 | 1.1x | 40 | 35% |
| Parabolic SAR step=0.02, maxStep=0.1 |
-6.5% | -58.6% | -0.02 | -0.11 | 0.7x | 127 | 51% |
| MACD fast=7, slow=37, signal=8 |
-8.5% | -63.6% | -0.06 | -0.13 | 0.6x | 129 | 53% |
| Buy and hold | -8.3% | -82.1% | 0.12 | -0.10 | 0.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 50-day average price crosses above the 186-day average
- Sell — Sell (to cash) when the 50-day average falls below the 186-day average