Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Spin Master Corp backtest
10 trend-following strategies were compared on the full daily history of Spin Master Corp. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.8%, MDD -22.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 0.8%, drawdown -83.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.3%, MDD -36.1%, Sharpe 0.49, 30% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 47.0%p (CAGR 1.8%, MDD -22.8%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=240, threshold=0.12 |
8.3% | -36.1% | 0.49 | 0.23 | 2.4x | 18 | 30% |
| SMA 크로스오버 fast=48, slow=261 |
4.9% | -41.1% | 0.32 | 0.12 | 1.7x | 11 | 38% |
| EMA 크로스오버 fast=51, slow=163 |
3.3% | -45.3% | 0.26 | 0.07 | 1.4x | 11 | 44% |
| Donchian 채널 돌파 entryN=104, exitN=102 |
3.2% | -40.4% | 0.26 | 0.08 | 1.4x | 9 | 34% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=23, mult=4 |
1.8% | -22.8% | 0.24 | 0.08 | 1.2x | 16 | 10% |
| 볼린저 밴드 돌파 n=27, k=3.4 |
0.6% | -29.4% | 0.11 | 0.02 | 1.1x | 18 | 11% |
| Supertrend period=18, mult=5 |
-2.6% | -69.7% | 0.02 | -0.04 | 0.7x | 34 | 58% |
| ADX / DI 방향성 period=10, threshold=39 |
-1.1% | -37.0% | -0.03 | -0.03 | 0.9x | 56 | 11% |
| MACD fast=14, slow=48, signal=15 |
-4.9% | -79.4% | -0.06 | -0.06 | 0.6x | 150 | 47% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-7.7% | -77.8% | -0.18 | -0.10 | 0.4x | 144 | 48% |
| Buy and hold | 0.8% | -83.1% | 0.22 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 240-day return is greater than 12%
- Sell — Sell when the 240-day return drops to 12% or below