Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vontier Corporation backtest
10 trend-following strategies were compared on the full daily history of Vontier Corporation. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.9%, MDD -9.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.0%, drawdown -54.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.9%, MDD -9.9%, Sharpe 0.83, 20% exposure.
CAGR reference leader: Supertrend — CAGR 12.2%, MDD -28.4%, exposure 51%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 9.9%p higher than buy and hold, while drawdown improves by 44.8%p (CAGR 8.9%, MDD -9.9%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=98, exitN=29 |
8.9% | -9.9% | 0.83 | 0.90 | 1.6x | 8 | 20% |
| 볼린저 밴드 돌파 n=49, k=2.2 |
9.8% | -15.2% | 0.76 | 0.64 | 1.7x | 17 | 30% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=24, mult=3.4 |
8.3% | -17.2% | 0.69 | 0.48 | 1.6x | 12 | 27% |
| Supertrend period=14, mult=2.6 |
12.2% | -28.4% | 0.67 | 0.43 | 2.0x | 39 | 51% |
| ROC 모멘텀 n=37, threshold=0.05 |
7.8% | -24.1% | 0.55 | 0.32 | 1.5x | 69 | 37% |
| MACD fast=10, slow=59, signal=14 |
5.9% | -28.5% | 0.38 | 0.21 | 1.4x | 79 | 49% |
| EMA 크로스오버 fast=10, slow=14 |
5.7% | -27.0% | 0.37 | 0.21 | 1.4x | 71 | 53% |
| ADX / DI 방향성 period=21, threshold=15 |
4.0% | -31.9% | 0.34 | 0.13 | 1.3x | 55 | 35% |
| SMA 크로스오버 fast=22, slow=67 |
4.5% | -39.5% | 0.33 | 0.11 | 1.3x | 22 | 47% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-4.5% | -42.8% | -0.11 | -0.10 | 0.8x | 93 | 52% |
| Buy and hold | -1.0% | -54.7% | 0.12 | -0.02 | 0.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 98 days
- Sell — Sell when price breaks below the lowest low of the last 29 days