Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vistance Networks, Inc. backtest
10 trend-following strategies were compared on the full daily history of Vistance Networks, Inc.. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.6%, MDD -23.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.9%, drawdown -97.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.6%, MDD -23.7%, Sharpe 0.62, 8% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 18.6%, MDD -40.7%, exposure 34%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.6%p higher than buy and hold, while drawdown improves by 74.3%p (CAGR 9.6%, MDD -23.7%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=35, mult=3.1 |
9.6% | -23.7% | 0.62 | 0.41 | 3.2x | 20 | 8% |
| ROC 모멘텀 n=84, threshold=0.11 |
18.6% | -40.7% | 0.60 | 0.46 | 8.9x | 78 | 34% |
| ADX / DI 방향성 period=19, threshold=18 |
13.1% | -63.3% | 0.48 | 0.21 | 4.8x | 126 | 35% |
| 볼린저 밴드 돌파 n=32, k=2.9 |
10.4% | -42.2% | 0.44 | 0.25 | 3.6x | 30 | 14% |
| Donchian 채널 돌파 entryN=46, exitN=39 |
8.8% | -79.8% | 0.40 | 0.11 | 2.9x | 34 | 45% |
| Supertrend period=7, mult=1.8 |
8.5% | -69.7% | 0.40 | 0.12 | 2.8x | 160 | 52% |
| EMA 크로스오버 fast=44, slow=72 |
7.9% | -67.2% | 0.39 | 0.12 | 2.6x | 24 | 49% |
| SMA 크로스오버 fast=24, slow=136 |
6.5% | -64.4% | 0.36 | 0.10 | 2.2x | 28 | 46% |
| Parabolic SAR step=0.005, maxStep=0.34 |
6.1% | -69.3% | 0.35 | 0.09 | 2.1x | 108 | 45% |
| MACD fast=18, slow=56, signal=12 |
-6.3% | -80.5% | 0.08 | -0.08 | 0.4x | 153 | 50% |
| Buy and hold | -1.9% | -97.9% | 0.31 | -0.02 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 17-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 17-day average