Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Curaleaf Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Curaleaf Holdings, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 13.5%, MDD -30.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -23.3%, drawdown -94.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.8%, MDD -59.8%, Sharpe 0.53, 35% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 39.1%p higher than buy and hold, while drawdown improves by 34.8%p (CAGR 13.5%, MDD -30.0%, exposure 5%).
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=45, slow=51 |
15.8% | -59.8% | 0.53 | 0.26 | 2.2x | 44 | 35% |
| ADX / DI 방향성 period=25, threshold=28 |
13.5% | -30.0% | 0.53 | 0.45 | 2.0x | 4 | 5% |
| Donchian 채널 돌파 entryN=57, exitN=76 |
8.7% | -57.5% | 0.45 | 0.15 | 1.6x | 7 | 44% |
| ROC 모멘텀 n=32, threshold=0.13 |
8.9% | -54.3% | 0.42 | 0.16 | 1.6x | 64 | 21% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=25, mult=3.3 |
8.5% | -48.7% | 0.40 | 0.17 | 1.5x | 10 | 5% |
| EMA 크로스오버 fast=12, slow=145 |
1.9% | -61.2% | 0.32 | 0.03 | 1.1x | 9 | 30% |
| 볼린저 밴드 돌파 n=41, k=2.3 |
3.7% | -55.3% | 0.31 | 0.07 | 1.2x | 18 | 17% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-2.1% | -72.0% | 0.26 | -0.03 | 0.9x | 71 | 43% |
| Supertrend period=13, mult=2.8 |
-5.2% | -81.8% | 0.20 | -0.06 | 0.7x | 37 | 42% |
| MACD fast=13, slow=51, signal=11 |
-7.2% | -81.5% | 0.20 | -0.09 | 0.7x | 67 | 52% |
| Buy and hold | -23.3% | -94.5% | 0.11 | -0.25 | 0.2x | 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 45-day average price crosses above the 51-day average
- Sell — Sell (to cash) when the 45-day average falls below the 51-day average