Trend-Following Backtester · Guide · backtest 한국어
equity · US
Virtu Financial, Inc. backtest
10 trend-following strategies were compared on the full daily history of Virtu Financial, Inc.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.7%, MDD -22.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 10.0%, drawdown -59.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.6%, MDD -39.5%, Sharpe 0.64, 50% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 19.9%p (CAGR 10.7%, MDD -22.9%, exposure 24%).
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=115 |
14.6% | -39.5% | 0.64 | 0.37 | 4.7x | 31 | 50% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=16, mult=3.6 |
10.7% | -22.9% | 0.61 | 0.47 | 3.2x | 22 | 24% |
| EMA 크로스오버 fast=29, slow=66 |
13.6% | -39.5% | 0.60 | 0.34 | 4.2x | 29 | 50% |
| ADX / DI 방향성 period=34, threshold=18 |
10.4% | -38.9% | 0.58 | 0.27 | 3.1x | 42 | 24% |
| ROC 모멘텀 n=75, threshold=0.07 |
11.2% | -45.8% | 0.55 | 0.25 | 3.4x | 101 | 38% |
| Donchian 채널 돌파 entryN=60, exitN=35 |
10.5% | -43.7% | 0.51 | 0.24 | 3.1x | 27 | 43% |
| Supertrend period=8, mult=4.7 |
9.3% | -48.1% | 0.46 | 0.19 | 2.8x | 37 | 51% |
| 볼린저 밴드 돌파 n=66, k=1.7 |
7.7% | -38.5% | 0.43 | 0.20 | 2.3x | 41 | 36% |
| MACD fast=8, slow=64, signal=19 |
5.9% | -61.8% | 0.35 | 0.10 | 1.9x | 139 | 52% |
| Parabolic SAR step=0.025, maxStep=0.12 |
1.4% | -53.0% | 0.18 | 0.03 | 1.2x | 247 | 51% |
| Buy and hold | 10.0% | -59.4% | 0.44 | 0.17 | 2.9x | 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 115-day average
- Sell — Sell (to cash) when the 10-day average falls below the 115-day average