Trend-Following Backtester · Guide · backtest 한국어
equity · US
VSE Corporation backtest
10 trend-following strategies were compared on the full daily history of VSE Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.4%, drawdown -76.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.4%, MDD -77.2%, Sharpe 0.46, 57% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=56, slow=266 |
11.4% | -77.2% | 0.46 | 0.15 | 115.1x | 35 | 57% |
| EMA 크로스오버 fast=67, slow=228 |
9.2% | -79.8% | 0.42 | 0.11 | 46.7x | 47 | 57% |
| Donchian 채널 돌파 entryN=133, exitN=70 |
6.9% | -69.4% | 0.36 | 0.10 | 18.9x | 53 | 44% |
| ROC 모멘텀 n=226, threshold=-0.03 |
4.3% | -88.6% | 0.31 | 0.05 | 6.4x | 285 | 61% |
| ADX / DI 방향성 period=37, threshold=32 |
1.4% | -32.6% | 0.17 | 0.04 | 1.8x | 14 | 5% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-1.5% | -98.0% | 0.16 | -0.02 | 0.5x | 644 | 49% |
| 볼린저 밴드 돌파 n=29, k=3.4 |
-2.2% | -83.6% | -0.03 | -0.03 | 0.4x | 86 | 9% |
| Supertrend period=17, mult=5 |
-9.7% | -99.9% | -0.05 | -0.10 | 0.0x | 257 | 56% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=27, mult=4 |
-7.2% | -97.8% | -0.12 | -0.07 | 0.0x | 152 | 26% |
| MACD fast=24, slow=59, signal=23 |
-14.1% | -99.9% | -0.19 | -0.14 | 0.0x | 445 | 51% |
| Buy and hold | 14.4% | -76.6% | 0.51 | 0.19 | 361.1x | 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 56-day average price crosses above the 266-day average
- Sell — Sell (to cash) when the 56-day average falls below the 266-day average