Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Valmet Corp backtest
10 trend-following strategies were compared on the full daily history of Valmet Corp. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 96% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 11.5%, drawdown -47.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.6%, MDD -48.8%, Sharpe 0.54, 96% 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 96% n=11, threshold=-0.11 |
12.6% | -48.8% | 0.54 | 0.26 | 4.5x | 65 | 96% |
| ADX / DI 방향성 period=21, threshold=30 |
3.7% | -12.0% | 0.48 | 0.31 | 1.6x | 14 | 7% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=12, mult=2.5 |
3.9% | -40.9% | 0.30 | 0.10 | 1.6x | 45 | 42% |
| Supertrend period=27, mult=3.2 |
4.3% | -48.0% | 0.30 | 0.09 | 1.7x | 75 | 55% |
| 볼린저 밴드 돌파 n=20, k=3.2 |
1.9% | -11.8% | 0.30 | 0.16 | 1.3x | 15 | 6% |
| Donchian 채널 돌파 entryN=36, exitN=47 |
3.6% | -40.6% | 0.27 | 0.09 | 1.6x | 39 | 59% |
| MACD fast=15, slow=20, signal=14 |
2.4% | -54.2% | 0.22 | 0.04 | 1.4x | 187 | 49% |
| SMA 크로스오버 fast=36, slow=201 |
0.9% | -57.8% | 0.16 | 0.01 | 1.1x | 28 | 62% |
| EMA 크로스오버 fast=37, slow=80 |
-0.4% | -60.7% | 0.10 | -0.01 | 0.9x | 40 | 59% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-3.1% | -61.3% | -0.02 | -0.05 | 0.7x | 179 | 51% |
| Buy and hold | 11.5% | -47.6% | 0.50 | 0.24 | 3.9x | 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 11-day return is greater than -11%
- Sell — Sell when the 11-day return drops to -11% or below