Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Constellation Software Inc. backtest
10 trend-following strategies were compared on the full daily history of Constellation Software Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 25.9%, MDD -24.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 29.1%, drawdown -56.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 25.9%, MDD -24.5%, Sharpe 1.15, 79% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 31.9%p (CAGR 25.9%, MDD -24.5%, exposure 79%).
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=60, slow=158 |
25.9% | -24.5% | 1.15 | 1.05 | 74.9x | 17 | 79% |
| Donchian 채널 돌파 entryN=49, exitN=55 |
24.6% | -26.4% | 1.12 | 0.93 | 62.1x | 25 | 79% |
| ROC 모멘텀 n=127, threshold=-0.04 |
25.7% | -35.7% | 1.12 | 0.72 | 72.8x | 61 | 84% |
| EMA 크로스오버 fast=37, slow=150 |
25.3% | -32.1% | 1.11 | 0.79 | 69.1x | 18 | 83% |
| 볼린저 밴드 돌파 n=59, k=3.4 |
9.7% | -18.3% | 0.91 | 0.53 | 5.7x | 16 | 20% |
| Supertrend period=18, mult=4.9 |
18.3% | -52.6% | 0.90 | 0.35 | 23.3x | 59 | 72% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=19, mult=1.8 |
14.4% | -27.1% | 0.84 | 0.53 | 12.5x | 103 | 59% |
| ADX / DI 방향성 period=39, threshold=11 |
13.6% | -31.9% | 0.78 | 0.43 | 10.9x | 165 | 59% |
| Parabolic SAR step=0.01, maxStep=0.12 |
12.1% | -31.5% | 0.69 | 0.39 | 8.6x | 243 | 61% |
| MACD fast=12, slow=28, signal=17 |
6.2% | -45.3% | 0.43 | 0.14 | 3.1x | 279 | 51% |
| Buy and hold | 29.1% | -56.4% | 1.10 | 0.52 | 121.5x | 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 60-day average price crosses above the 158-day average
- Sell — Sell (to cash) when the 60-day average falls below the 158-day average