Trend-Following Backtester · Guide · backtest 한국어
equity · AR
Cablevision Holding SA Class B backtest
10 trend-following strategies were compared on the full daily history of Cablevision Holding SA Class B. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 48.2%, MDD -46.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 41.6%, drawdown -74.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 48.2%, MDD -46.5%, Sharpe 1.21, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 27.7%p (CAGR 48.2%, MDD -46.5%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=53, slow=177 |
48.2% | -46.5% | 1.21 | 1.04 | 33.5x | 7 | 62% |
| ROC 모멘텀 n=142, threshold=0.04 |
47.3% | -46.5% | 1.20 | 1.02 | 31.5x | 41 | 61% |
| EMA 크로스오버 fast=39, slow=184 |
45.2% | -46.5% | 1.14 | 0.97 | 27.9x | 5 | 68% |
| Donchian 채널 돌파 entryN=102, exitN=72 |
41.9% | -46.5% | 1.14 | 0.90 | 22.7x | 5 | 57% |
| MACD fast=3, slow=68, signal=15 |
39.4% | -54.4% | 1.14 | 0.72 | 19.3x | 174 | 47% |
| 볼린저 밴드 돌파 n=16, k=1.9 |
32.9% | -35.0% | 1.12 | 0.94 | 12.6x | 90 | 33% |
| ADX / DI 방향성 period=8, threshold=9 |
34.0% | -52.0% | 1.02 | 0.65 | 13.6x | 236 | 52% |
| Supertrend period=25, mult=2.6 |
32.6% | -61.5% | 0.99 | 0.53 | 12.4x | 59 | 57% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=28, mult=1.7 |
26.1% | -33.8% | 0.98 | 0.77 | 7.9x | 56 | 28% |
| Parabolic SAR step=0.02, maxStep=0.24 |
28.4% | -47.4% | 0.90 | 0.60 | 9.3x | 181 | 51% |
| Buy and hold | 41.6% | -74.2% | 0.96 | 0.56 | 22.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 53-day average price crosses above the 177-day average
- Sell — Sell (to cash) when the 53-day average falls below the 177-day average