Trend-Following Backtester · Guide · backtest 한국어
equity · US
Valaris Limited backtest
10 trend-following strategies were compared on the full daily history of Valaris Limited. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 23.1%, MDD -30.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 27.3%, drawdown -63.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 23.1%, MDD -30.5%, Sharpe 0.73, 56% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 24.9%, MDD -54.9%, exposure 74%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.3%p lower than buy and hold, while drawdown improves by 33.3%p (CAGR 23.1%, MDD -30.5%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=10, slow=75 |
23.1% | -30.5% | 0.73 | 0.76 | 3.0x | 17 | 56% |
| Donchian 채널 돌파 entryN=17, exitN=57 |
24.9% | -54.9% | 0.73 | 0.45 | 3.3x | 15 | 74% |
| ROC 모멘텀 n=75, threshold=-0.01 |
21.1% | -42.6% | 0.69 | 0.50 | 2.8x | 40 | 57% |
| Supertrend period=17, mult=4.8 |
19.7% | -39.1% | 0.66 | 0.51 | 2.6x | 16 | 56% |
| SMA 크로스오버 fast=50, slow=85 |
18.5% | -43.5% | 0.63 | 0.43 | 2.5x | 10 | 58% |
| 볼린저 밴드 돌파 n=14, k=3 |
6.6% | -9.9% | 0.59 | 0.67 | 1.4x | 6 | 4% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=26, mult=0.7 |
8.6% | -37.5% | 0.41 | 0.23 | 1.6x | 71 | 49% |
| MACD fast=11, slow=25, signal=16 |
4.6% | -61.6% | 0.30 | 0.08 | 1.3x | 75 | 49% |
| ADX / DI 방향성 period=37, threshold=30 |
2.1% | -14.2% | 0.27 | 0.15 | 1.1x | 2 | 4% |
| Parabolic SAR step=0.03, maxStep=0.3 |
-1.5% | -69.8% | 0.14 | -0.02 | 0.9x | 166 | 51% |
| Buy and hold | 27.3% | -63.8% | 0.73 | 0.43 | 3.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 10-day EMA crosses above the 75-day EMA
- Sell — Sell when the 10-day EMA falls below the 75-day EMA