Trend-Following Backtester · Guide · backtest 한국어
equity · US
Virgin Galactic Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Virgin Galactic Holdings, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 18.0%, MDD -60.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -39.1%, drawdown -99.8%).
Sharpe leader (same as main): Supertrend — CAGR 20.1%, MDD -80.5%, Sharpe 0.60, 37% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 59.2%p higher than buy and hold, while drawdown improves by 19.4%p (CAGR 18.0%, MDD -60.5%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=17, mult=2 |
20.1% | -80.5% | 0.60 | 0.25 | 5.1x | 76 | 37% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=11, mult=1.8 |
18.0% | -60.5% | 0.59 | 0.30 | 4.3x | 38 | 10% |
| 볼린저 밴드 돌파 n=13, k=2.1 |
13.7% | -77.8% | 0.50 | 0.18 | 3.1x | 82 | 23% |
| Parabolic SAR step=0.015, maxStep=0.28 |
5.2% | -94.5% | 0.38 | 0.06 | 1.6x | 142 | 45% |
| ADX / DI 방향성 period=8, threshold=38 |
7.0% | -75.8% | 0.38 | 0.09 | 1.8x | 68 | 23% |
| EMA 크로스오버 fast=71, slow=221 |
6.4% | -73.9% | 0.37 | 0.09 | 1.7x | 4 | 29% |
| Donchian 채널 돌파 entryN=102, exitN=59 |
2.0% | -73.5% | 0.30 | 0.03 | 1.2x | 5 | 26% |
| MACD fast=17, slow=57, signal=18 |
-6.4% | -92.7% | 0.26 | -0.07 | 0.6x | 82 | 51% |
| ROC 모멘텀 n=139, threshold=-0.03 |
-1.9% | -81.5% | 0.25 | -0.02 | 0.8x | 44 | 40% |
| SMA 크로스오버 fast=26, slow=212 |
-6.8% | -89.0% | 0.12 | -0.08 | 0.5x | 10 | 30% |
| Buy and hold | -39.1% | -99.8% | -0.14 | -0.39 | 0.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 17-day volatility, 2× band
- Sell — Sell when price drops below the trend line (flips down)