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; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 17.8%, MDD -60.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -37.8%, drawdown -99.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 17.8%, MDD -60.5%, Sharpe 0.59, 10% exposure.
CAGR reference leader: Supertrend — CAGR 19.1%, MDD -80.5%, exposure 38%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 55.6%p higher than buy and hold, while drawdown improves by 39.3%p (CAGR 17.8%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=11, mult=1.8 |
17.8% | -60.5% | 0.59 | 0.29 | 4.3x | 38 | 10% |
| Supertrend period=17, mult=2 |
19.1% | -80.5% | 0.58 | 0.24 | 4.7x | 77 | 38% |
| 볼린저 밴드 돌파 n=13, k=2.1 |
14.5% | -77.8% | 0.51 | 0.19 | 3.4x | 84 | 23% |
| Parabolic SAR step=0.015, maxStep=0.28 |
5.3% | -94.5% | 0.38 | 0.06 | 1.6x | 144 | 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 | 28% |
| Donchian 채널 돌파 entryN=102, exitN=59 |
3.6% | -73.5% | 0.33 | 0.05 | 1.4x | 5 | 26% |
| MACD fast=17, slow=57, signal=18 |
-6.2% | -92.7% | 0.26 | -0.07 | 0.6x | 83 | 51% |
| ROC 모멘텀 n=139, threshold=-0.03 |
-2.6% | -81.9% | 0.24 | -0.03 | 0.8x | 45 | 40% |
| SMA 크로스오버 fast=26, slow=212 |
-6.7% | -89.0% | 0.12 | -0.08 | 0.5x | 10 | 30% |
| Buy and hold | -37.8% | -99.8% | -0.12 | -0.38 | 0.0x | 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 9-day average + 1.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 9-day average