Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Spartan Delta Corp backtest
10 trend-following strategies were compared on the full daily history of Spartan Delta Corp. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.3%, MDD -33.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR -18.0%, drawdown -99.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.6%, MDD -96.5%, Sharpe 0.47, 45% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 9.3%, MDD -33.3%, exposure 5%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 23.6%p higher than buy and hold, while drawdown improves by 3.3%p (CAGR 9.3%, MDD -33.3%, 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=22, slow=28 |
5.6% | -96.5% | 0.47 | 0.06 | 3.0x | 245 | 45% |
| ADX / DI 방향성 period=34, threshold=31 |
9.3% | -33.3% | 0.44 | 0.28 | 6.0x | 14 | 5% |
| Parabolic SAR step=0.03, maxStep=0.12 |
-7.4% | -98.9% | 0.40 | -0.07 | 0.2x | 346 | 51% |
| Donchian 채널 돌파 entryN=142, exitN=31 |
6.3% | -78.7% | 0.38 | 0.08 | 3.5x | 26 | 23% |
| Supertrend period=5, mult=4.7 |
-20.9% | -99.9% | 0.33 | -0.21 | 0.0x | 94 | 62% |
| MACD fast=18, slow=43, signal=19 |
-31.4% | -100.0% | 0.25 | -0.31 | 0.0x | 213 | 55% |
| EMA 크로스오버 fast=12, slow=292 |
-4.3% | -93.4% | 0.22 | -0.05 | 0.4x | 25 | 35% |
| ROC 모멘텀 n=43, threshold=-0.03 |
-34.3% | -100.0% | 0.16 | -0.34 | 0.0x | 367 | 56% |
| 볼린저 밴드 돌파 n=42, k=3.4 |
-4.6% | -91.1% | 0.09 | -0.05 | 0.4x | 34 | 12% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=26, mult=4 |
-13.5% | -99.9% | 0.02 | -0.14 | 0.1x | 52 | 22% |
| Buy and hold | -18.0% | -99.9% | 0.58 | -0.18 | 0.0x | 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 22-day average price crosses above the 28-day average
- Sell — Sell (to cash) when the 22-day average falls below the 28-day average