Trend-Following Backtester · Guide · backtest 한국어
equity · US
V.F. Corporation backtest
10 trend-following strategies were compared on the full daily history of V.F. Corporation. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.5%, MDD -39.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.7%, drawdown -90.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.7%, MDD -41.9%, Sharpe 0.58, 62% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 48.3%p (CAGR 9.5%, MDD -39.1%, exposure 49%).
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=10, slow=207 |
10.7% | -41.9% | 0.58 | 0.25 | 110.3x | 92 | 62% |
| Donchian 채널 돌파 entryN=111, exitN=51 |
9.5% | -39.1% | 0.56 | 0.24 | 66.2x | 68 | 49% |
| EMA 크로스오버 fast=29, slow=189 |
10.3% | -48.9% | 0.56 | 0.21 | 94.2x | 60 | 63% |
| ROC 모멘텀 n=126, threshold=0.02 |
6.7% | -50.9% | 0.41 | 0.13 | 20.6x | 326 | 59% |
| Keltner 채널 돌파 emaPeriod=92, atrPeriod=8, mult=2.1 |
5.4% | -51.5% | 0.37 | 0.10 | 11.5x | 194 | 50% |
| 볼린저 밴드 돌파 n=46, k=2.9 |
3.6% | -37.9% | 0.33 | 0.10 | 5.2x | 112 | 24% |
| Supertrend period=17, mult=5 |
4.6% | -66.2% | 0.32 | 0.07 | 8.1x | 156 | 59% |
| Parabolic SAR step=0.02, maxStep=0.02 |
3.5% | -73.2% | 0.27 | 0.05 | 4.9x | 288 | 59% |
| ADX / DI 방향성 period=37, threshold=34 |
0.4% | -21.8% | 0.17 | 0.02 | 1.2x | 10 | 1% |
| MACD fast=25, slow=65, signal=18 |
0.2% | -80.7% | 0.12 | 0.00 | 1.1x | 444 | 51% |
| Buy and hold | 8.7% | -90.3% | 0.41 | 0.10 | 47.2x | 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 10-day average price crosses above the 207-day average
- Sell — Sell (to cash) when the 10-day average falls below the 207-day average