Trend-Following Backtester · Guide · backtest 한국어
equity · CN
3Peak Incorporated Class A backtest
10 trend-following strategies were compared on the full daily history of 3Peak Incorporated Class A. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 29.2%, MDD -51.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 14.5%, drawdown -88.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 29.2%, MDD -51.9%, Sharpe 0.83, 45% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 14.7%p higher than buy and hold, while drawdown improves by 37.1%p (CAGR 29.2%, MDD -51.9%, exposure 45%).
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=72, slow=154 |
29.2% | -51.9% | 0.83 | 0.56 | 4.6x | 5 | 45% |
| EMA 크로스오버 fast=27, slow=150 |
22.0% | -56.6% | 0.69 | 0.39 | 3.3x | 7 | 42% |
| ROC 모멘텀 n=119, threshold=-0.03 |
23.1% | -60.1% | 0.69 | 0.38 | 3.4x | 39 | 49% |
| Donchian 채널 돌파 entryN=59, exitN=70 |
15.9% | -54.3% | 0.56 | 0.29 | 2.4x | 5 | 50% |
| Parabolic SAR step=0.015, maxStep=0.26 |
10.7% | -55.6% | 0.45 | 0.19 | 1.8x | 105 | 48% |
| MACD fast=17, slow=24, signal=8 |
9.6% | -67.0% | 0.43 | 0.14 | 1.7x | 97 | 49% |
| Supertrend period=28, mult=3.2 |
8.6% | -68.4% | 0.41 | 0.13 | 1.6x | 33 | 43% |
| ADX / DI 방향성 period=32, threshold=30 |
4.9% | -20.1% | 0.39 | 0.24 | 1.3x | 4 | 5% |
| 볼린저 밴드 돌파 n=22, k=2.2 |
6.1% | -38.4% | 0.35 | 0.16 | 1.4x | 37 | 22% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=28, mult=3.4 |
4.4% | -43.3% | 0.30 | 0.10 | 1.3x | 16 | 22% |
| Buy and hold | 14.5% | -88.9% | 0.53 | 0.16 | 2.2x | 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 72-day average price crosses above the 154-day average
- Sell — Sell (to cash) when the 72-day average falls below the 154-day average