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; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.8%, MDD -22.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.0%, drawdown -59.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.8%, MDD -22.9%, Sharpe 0.61, 24% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.6%, MDD -39.5%, exposure 49%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 36.4%p (CAGR 10.8%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=16, mult=3.6 |
10.8% | -22.9% | 0.61 | 0.47 | 3.2x | 22 | 24% |
| SMA 크로스오버 fast=10, slow=115 |
13.6% | -39.5% | 0.61 | 0.34 | 4.2x | 31 | 49% |
| ADX / DI 방향성 period=34, threshold=18 |
10.5% | -38.9% | 0.58 | 0.27 | 3.1x | 42 | 24% |
| EMA 크로스오버 fast=29, slow=66 |
12.5% | -39.5% | 0.57 | 0.32 | 3.8x | 29 | 50% |
| ROC 모멘텀 n=75, threshold=0.07 |
10.2% | -45.8% | 0.52 | 0.22 | 3.0x | 101 | 37% |
| Donchian 채널 돌파 entryN=60, exitN=35 |
9.5% | -43.7% | 0.48 | 0.22 | 2.8x | 27 | 43% |
| 볼린저 밴드 돌파 n=66, k=1.7 |
8.7% | -38.5% | 0.47 | 0.23 | 2.6x | 39 | 36% |
| Supertrend period=8, mult=4.7 |
8.3% | -48.1% | 0.43 | 0.17 | 2.5x | 37 | 51% |
| MACD fast=8, slow=64, signal=19 |
5.3% | -61.8% | 0.33 | 0.09 | 1.8x | 138 | 52% |
| Parabolic SAR step=0.025, maxStep=0.12 |
1.2% | -53.0% | 0.17 | 0.02 | 1.1x | 244 | 51% |
| Buy and hold | 9.0% | -59.4% | 0.42 | 0.15 | 2.6x | 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 54-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 54-day average