Trend-Following Backtester · Guide · backtest 한국어
equity · US
Viavi Solutions Inc. backtest
10 trend-following strategies were compared on the full daily history of Viavi Solutions Inc.. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 14.7%, MDD -60.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 11.1%, drawdown -99.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 22.9%, MDD -69.4%, Sharpe 0.71, 56% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.8%p higher than buy and hold, while drawdown improves by 30.4%p (CAGR 14.7%, MDD -60.4%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=19, slow=131 |
22.9% | -69.4% | 0.71 | 0.33 | 848.7x | 73 | 56% |
| SMA 크로스오버 fast=51, slow=90 |
21.9% | -84.7% | 0.68 | 0.26 | 646.6x | 91 | 58% |
| 볼린저 밴드 돌파 n=57, k=2.9 |
14.7% | -60.4% | 0.68 | 0.24 | 89.7x | 42 | 17% |
| ROC 모멘텀 n=131, threshold=0.03 |
19.0% | -65.4% | 0.63 | 0.29 | 292.0x | 237 | 51% |
| Donchian 채널 돌파 entryN=118, exitN=68 |
18.2% | -71.6% | 0.63 | 0.25 | 238.9x | 40 | 48% |
| Supertrend period=22, mult=5 |
18.5% | -74.1% | 0.63 | 0.25 | 257.0x | 92 | 54% |
| ADX / DI 방향성 period=38, threshold=15 |
12.8% | -76.5% | 0.54 | 0.17 | 51.7x | 132 | 29% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=8, mult=2.9 |
12.3% | -75.8% | 0.53 | 0.16 | 44.6x | 114 | 30% |
| Parabolic SAR step=0.005, maxStep=0.24 |
7.4% | -90.9% | 0.38 | 0.08 | 10.2x | 266 | 53% |
| MACD fast=19, slow=48, signal=30 |
3.4% | -98.1% | 0.29 | 0.03 | 3.0x | 280 | 54% |
| Buy and hold | 11.1% | -99.8% | 0.47 | 0.11 | 31.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 19-day EMA crosses above the 131-day EMA
- Sell — Sell when the 19-day EMA falls below the 131-day EMA