Trend-Following Backtester · Guide · backtest 한국어
equity · US
Varex Imaging Corporation backtest
10 trend-following strategies were compared on the full daily history of Varex Imaging Corporation. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.6%, MDD -5.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR -3.9%, drawdown -84.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.1%, MDD -10.5%, Sharpe 0.46, 6% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.1%, MDD -27.6%, exposure 21%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 73.7%p (CAGR 5.6%, MDD -5.0%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=16, mult=3.1 |
3.1% | -10.5% | 0.46 | 0.29 | 1.3x | 9 | 6% |
| Donchian 채널 돌파 entryN=62, exitN=7 |
5.8% | -28.8% | 0.42 | 0.20 | 1.7x | 27 | 21% |
| 볼린저 밴드 돌파 n=33, k=3.5 |
5.6% | -5.0% | 0.40 | 1.11 | 1.7x | 3 | 3% |
| ROC 모멘텀 n=54, threshold=0.14 |
7.1% | -27.6% | 0.39 | 0.26 | 1.9x | 67 | 21% |
| ADX / DI 방향성 period=14, threshold=30 |
4.8% | -20.7% | 0.38 | 0.23 | 1.6x | 31 | 14% |
| Supertrend period=9, mult=3.8 |
4.8% | -51.4% | 0.30 | 0.09 | 1.6x | 31 | 44% |
| EMA 크로스오버 fast=19, slow=129 |
-0.7% | -58.6% | 0.11 | -0.01 | 0.9x | 21 | 39% |
| MACD fast=19, slow=22, signal=19 |
-5.0% | -78.5% | 0.05 | -0.06 | 0.6x | 115 | 51% |
| SMA 크로스오버 fast=28, slow=176 |
-4.3% | -58.2% | -0.07 | -0.07 | 0.7x | 19 | 38% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-9.2% | -81.7% | -0.11 | -0.11 | 0.4x | 163 | 49% |
| Buy and hold | -3.9% | -84.2% | 0.16 | -0.05 | 0.7x | 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 19-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 19-day average