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 23.8%, MDD -30.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 25.7%, drawdown -63.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 23.8%, MDD -30.5%, Sharpe 0.75, 57% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 25.2%, MDD -54.9%, exposure 74%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 33.3%p (CAGR 23.8%, MDD -30.5%, exposure 57%).
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 |
23.8% | -30.5% | 0.75 | 0.78 | 3.1x | 16 | 57% |
| Donchian 채널 돌파 entryN=17, exitN=57 |
25.2% | -54.9% | 0.73 | 0.46 | 3.3x | 14 | 74% |
| ROC 모멘텀 n=75, threshold=-0.01 |
21.5% | -42.6% | 0.70 | 0.50 | 2.8x | 40 | 57% |
| Supertrend period=17, mult=4.8 |
20.1% | -39.1% | 0.66 | 0.51 | 2.6x | 16 | 57% |
| SMA 크로스오버 fast=50, slow=85 |
18.8% | -43.5% | 0.63 | 0.43 | 2.5x | 10 | 59% |
| 볼린저 밴드 돌파 n=14, k=3 |
6.8% | -9.9% | 0.59 | 0.69 | 1.4x | 6 | 4% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=26, mult=0.7 |
8.7% | -37.5% | 0.41 | 0.23 | 1.5x | 70 | 48% |
| ADX / DI 방향성 period=37, threshold=30 |
2.2% | -14.2% | 0.28 | 0.15 | 1.1x | 2 | 4% |
| MACD fast=11, slow=25, signal=16 |
3.0% | -61.6% | 0.26 | 0.05 | 1.2x | 75 | 48% |
| Parabolic SAR step=0.03, maxStep=0.3 |
-2.9% | -69.8% | 0.10 | -0.04 | 0.9x | 164 | 51% |
| Buy and hold | 25.7% | -63.8% | 0.71 | 0.40 | 3.3x | 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