Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Celestica Inc. backtest
10 trend-following strategies were compared on the full daily history of Celestica Inc.. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.8%, MDD -71.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.7%, drawdown -97.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.0%, MDD -79.4%, Sharpe 0.56, 42% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 13.8%, MDD -81.8%, exposure 53%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 18.0%p (CAGR 9.8%, MDD -71.7%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=72, k=1.4 |
13.0% | -79.4% | 0.56 | 0.16 | 31.2x | 96 | 42% |
| EMA 크로스오버 fast=10, slow=101 |
13.8% | -81.8% | 0.54 | 0.17 | 37.7x | 96 | 53% |
| SMA 크로스오버 fast=14, slow=177 |
13.0% | -78.6% | 0.52 | 0.17 | 31.1x | 64 | 54% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=23, mult=3.6 |
10.5% | -78.6% | 0.50 | 0.13 | 16.5x | 74 | 34% |
| Supertrend period=24, mult=3.4 |
11.0% | -78.3% | 0.48 | 0.14 | 19.0x | 162 | 50% |
| Donchian 채널 돌파 entryN=97, exitN=55 |
9.8% | -71.7% | 0.46 | 0.14 | 13.9x | 46 | 42% |
| ADX / DI 방향성 period=16, threshold=22 |
8.7% | -63.6% | 0.45 | 0.14 | 10.4x | 250 | 30% |
| ROC 모멘텀 n=165, threshold=0.05 |
9.3% | -90.5% | 0.43 | 0.10 | 12.1x | 214 | 50% |
| MACD fast=15, slow=37, signal=26 |
7.7% | -84.6% | 0.39 | 0.09 | 8.0x | 300 | 49% |
| Parabolic SAR step=0.02, maxStep=0.18 |
3.3% | -95.2% | 0.27 | 0.03 | 2.5x | 576 | 53% |
| Buy and hold | 12.7% | -97.3% | 0.49 | 0.13 | 29.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 72-day average (1.4× volatility)
- Sell — Sell when the close falls back to the 72-day middle average