Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vertiv Holdings, LLC backtest
10 trend-following strategies were compared on the full daily history of Vertiv Holdings, LLC. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 54.9%, MDD -33.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 48.9%, drawdown -71.2%).
Sharpe leader (same as main): Supertrend — CAGR 54.9%, MDD -33.5%, Sharpe 1.31, 77% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 57.9%, MDD -35.4%, exposure 79%.
Return/drawdown alternative: Supertrend — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 37.8%p (CAGR 54.9%, MDD -33.5%, exposure 77%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=4.1 |
54.9% | -33.5% | 1.31 | 1.64 | 33.0x | 18 | 77% |
| Donchian 채널 돌파 entryN=34, exitN=55 |
57.9% | -35.4% | 1.29 | 1.64 | 38.6x | 14 | 79% |
| SMA 크로스오버 fast=11, slow=92 |
55.1% | -50.9% | 1.27 | 1.08 | 33.4x | 20 | 75% |
| EMA 크로스오버 fast=9, slow=63 |
53.0% | -37.6% | 1.25 | 1.41 | 29.9x | 30 | 74% |
| Parabolic SAR step=0.01, maxStep=0.14 |
44.7% | -46.4% | 1.16 | 0.96 | 19.2x | 108 | 59% |
| ROC 모멘텀 n=130, threshold=-0.03 |
49.8% | -52.2% | 1.13 | 0.95 | 25.3x | 19 | 79% |
| 볼린저 밴드 돌파 n=34, k=1.1 |
38.8% | -34.1% | 1.11 | 1.14 | 13.7x | 84 | 56% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=25, mult=1.1 |
39.1% | -35.1% | 1.07 | 1.11 | 14.0x | 62 | 62% |
| ADX / DI 방향성 period=37, threshold=26 |
19.4% | -19.7% | 1.00 | 0.99 | 4.1x | 8 | 18% |
| MACD fast=17, slow=44, signal=16 |
33.0% | -64.2% | 0.98 | 0.51 | 9.8x | 98 | 53% |
| Buy and hold | 48.9% | -71.2% | 1.00 | 0.69 | 24.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)