Trend-Following Backtester · Guide · backtest 한국어
equity · US
V2X, Inc. backtest
10 trend-following strategies were compared on the full daily history of V2X, Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 12.8%, drawdown -55.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.6%, MDD -58.8%, Sharpe 0.53, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 Hold-like · Exposure 99% n=2, threshold=-0.09 |
14.6% | -58.8% | 0.53 | 0.25 | 5.1x | 41 | 99% |
| Donchian 채널 돌파 entryN=77, exitN=35 |
5.8% | -34.7% | 0.35 | 0.17 | 1.9x | 23 | 36% |
| Supertrend period=11, mult=1.6 |
4.6% | -57.5% | 0.29 | 0.08 | 1.7x | 175 | 51% |
| SMA 크로스오버 fast=46, slow=150 |
3.6% | -57.1% | 0.29 | 0.06 | 1.5x | 23 | 52% |
| Parabolic SAR step=0.01, maxStep=0.1 |
3.8% | -63.4% | 0.27 | 0.06 | 1.6x | 147 | 51% |
| EMA 크로스오버 fast=34, slow=38 |
2.3% | -51.3% | 0.23 | 0.04 | 1.3x | 45 | 58% |
| ADX / DI 방향성 period=9, threshold=35 |
2.4% | -50.1% | 0.22 | 0.05 | 1.3x | 89 | 19% |
| MACD fast=14, slow=51, signal=18 |
-0.9% | -76.4% | 0.12 | -0.01 | 0.9x | 153 | 49% |
| 볼린저 밴드 돌파 n=12, k=3 |
0.6% | -38.2% | 0.11 | 0.02 | 1.1x | 24 | 6% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=16, mult=2 |
-2.5% | -67.7% | 0.01 | -0.04 | 0.7x | 77 | 33% |
| Buy and hold | 12.8% | -55.9% | 0.50 | 0.23 | 4.2x | 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 2-day return is greater than -9%
- Sell — Sell when the 2-day return drops to -9% or below