Trend-Following Backtester · Guide · backtest 한국어
equity · US
Virtus Investment Partners, Inc. backtest
10 trend-following strategies were compared on the full daily history of Virtus Investment Partners, Inc.. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 26.8%, MDD -38.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 16.9%, drawdown -76.8%).
Sharpe leader (same as main): Supertrend — CAGR 26.8%, MDD -38.2%, Sharpe 0.94, 55% exposure.
Return/drawdown alternative: Supertrend — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 38.6%p (CAGR 26.8%, MDD -38.2%, exposure 55%).
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=17, mult=3.8 |
26.8% | -38.2% | 0.94 | 0.70 | 66.6x | 65 | 55% |
| EMA 크로스오버 fast=4, slow=64 |
21.3% | -54.6% | 0.81 | 0.39 | 30.3x | 113 | 59% |
| SMA 크로스오버 fast=14, slow=63 |
19.9% | -52.2% | 0.77 | 0.38 | 24.8x | 75 | 58% |
| ADX / DI 방향성 period=14, threshold=33 |
11.1% | -18.7% | 0.75 | 0.59 | 6.4x | 66 | 16% |
| Donchian 채널 돌파 entryN=10, exitN=31 |
21.6% | -64.5% | 0.74 | 0.33 | 31.5x | 83 | 74% |
| MACD fast=24, slow=59, signal=11 |
14.5% | -61.6% | 0.62 | 0.24 | 11.0x | 198 | 51% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=25, mult=1.7 |
12.0% | -40.8% | 0.62 | 0.29 | 7.4x | 123 | 36% |
| ROC 모멘텀 n=40, threshold=-0.02 |
15.4% | -67.2% | 0.62 | 0.23 | 12.5x | 245 | 62% |
| Parabolic SAR step=0.005, maxStep=0.22 |
15.1% | -59.3% | 0.62 | 0.25 | 12.0x | 162 | 54% |
| 볼린저 밴드 돌파 n=36, k=2.4 |
9.0% | -53.3% | 0.51 | 0.17 | 4.6x | 79 | 29% |
| Buy and hold | 16.9% | -76.8% | 0.58 | 0.22 | 15.7x | 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) — 17-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)