Trend-Following Backtester · Guide · backtest 한국어
equity · US
Valvoline Inc. backtest
10 trend-following strategies were compared on the full daily history of Valvoline Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.3%, drawdown -64.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.1%, MDD -24.0%, Sharpe 0.22, 27% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=143, threshold=0.12 |
2.1% | -24.0% | 0.22 | 0.09 | 1.2x | 42 | 27% |
| SMA 크로스오버 fast=43, slow=165 |
1.7% | -33.1% | 0.18 | 0.05 | 1.2x | 17 | 51% |
| Donchian 채널 돌파 entryN=22, exitN=61 |
1.4% | -46.7% | 0.18 | 0.03 | 1.2x | 30 | 72% |
| ADX / DI 방향성 period=38, threshold=28 |
0.3% | -6.2% | 0.13 | 0.04 | 1.0x | 2 | 1% |
| MACD fast=14, slow=59, signal=16 |
0.4% | -43.1% | 0.12 | 0.01 | 1.0x | 118 | 47% |
| Supertrend period=18, mult=3.7 |
0.4% | -42.6% | 0.12 | 0.01 | 1.0x | 50 | 48% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=20, mult=2.5 |
0.6% | -22.4% | 0.12 | 0.03 | 1.1x | 26 | 11% |
| 볼린저 밴드 돌파 n=18, k=2.9 |
0.4% | -19.2% | 0.09 | 0.02 | 1.0x | 26 | 10% |
| EMA 크로스오버 fast=34, slow=62 |
-2.5% | -42.0% | -0.02 | -0.06 | 0.8x | 38 | 54% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-2.9% | -43.0% | -0.02 | -0.07 | 0.7x | 200 | 48% |
| Buy and hold | 3.3% | -64.0% | 0.26 | 0.05 | 1.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 143-day return is greater than 12%
- Sell — Sell when the 143-day return drops to 12% or below