Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vistra Corp. backtest
10 trend-following strategies were compared on the full daily history of Vistra Corp.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 20.1%, MDD -41.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 25.8%, drawdown -54.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.3%, MDD -19.9%, Sharpe 0.91, 5% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 22.6%, MDD -48.9%, exposure 64%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 16.5%p lower than buy and hold, while drawdown improves by 34.1%p (CAGR 20.1%, MDD -41.8%, exposure 76%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=28, threshold=39 |
9.3% | -19.9% | 0.91 | 0.47 | 2.4x | 4 | 5% |
| SMA 크로스오버 fast=57, slow=209 |
22.6% | -48.9% | 0.77 | 0.46 | 7.4x | 14 | 64% |
| EMA 크로스오버 fast=72, slow=181 |
21.3% | -48.9% | 0.73 | 0.44 | 6.7x | 10 | 67% |
| ROC 모멘텀 n=169, threshold=-0.04 |
20.9% | -48.9% | 0.72 | 0.43 | 6.5x | 54 | 71% |
| Donchian 채널 돌파 entryN=32, exitN=72 |
20.1% | -41.8% | 0.71 | 0.48 | 6.0x | 18 | 76% |
| Keltner 채널 돌파 emaPeriod=78, atrPeriod=23, mult=2.9 |
13.2% | -38.1% | 0.61 | 0.35 | 3.4x | 28 | 39% |
| Supertrend period=11, mult=5 |
12.4% | -40.3% | 0.54 | 0.31 | 3.2x | 29 | 60% |
| 볼린저 밴드 돌파 n=44, k=2.3 |
9.6% | -47.2% | 0.51 | 0.20 | 2.5x | 34 | 30% |
| MACD fast=19, slow=34, signal=22 |
3.1% | -65.3% | 0.26 | 0.05 | 1.4x | 126 | 52% |
| Parabolic SAR step=0.015, maxStep=0.14 |
3.1% | -56.5% | 0.26 | 0.05 | 1.3x | 172 | 54% |
| Buy and hold | 25.8% | -54.0% | 0.76 | 0.48 | 9.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 28-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)