Trend-Following Backtester · Guide · backtest 한국어
equity · DE
CANCOM SE backtest
10 trend-following strategies were compared on the full daily history of CANCOM SE. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.8%, MDD -38.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.6%, drawdown -94.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.9%, MDD -81.4%, Sharpe 0.46, 55% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 13.5%p (CAGR 5.8%, MDD -38.4%, exposure 9%).
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=52, slow=78 |
10.9% | -81.4% | 0.46 | 0.13 | 16.2x | 100 | 55% |
| Donchian 채널 돌파 entryN=71, exitN=54 |
9.0% | -73.2% | 0.43 | 0.12 | 10.2x | 48 | 48% |
| Parabolic SAR step=0.005, maxStep=0.1 |
7.9% | -75.2% | 0.39 | 0.11 | 7.8x | 209 | 52% |
| 볼린저 밴드 돌파 n=53, k=3.5 |
5.8% | -38.4% | 0.39 | 0.15 | 4.5x | 24 | 9% |
| EMA 크로스오버 fast=19, slow=47 |
7.7% | -78.8% | 0.39 | 0.10 | 7.4x | 112 | 55% |
| Supertrend period=12, mult=3.9 |
6.5% | -80.4% | 0.35 | 0.08 | 5.4x | 120 | 57% |
| Keltner 채널 돌파 emaPeriod=82, atrPeriod=12, mult=2.1 |
5.6% | -71.1% | 0.33 | 0.08 | 4.3x | 114 | 41% |
| ROC 모멘텀 n=61, threshold=-0.06 |
5.4% | -91.1% | 0.32 | 0.06 | 4.1x | 303 | 68% |
| MACD fast=19, slow=57, signal=19 |
4.0% | -77.2% | 0.28 | 0.05 | 2.9x | 281 | 51% |
| ADX / DI 방향성 period=30, threshold=24 |
3.1% | -31.4% | 0.27 | 0.10 | 2.3x | 34 | 4% |
| Buy and hold | 7.6% | -94.9% | 0.39 | 0.08 | 7.2x | 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 52-day average price crosses above the 78-day average
- Sell — Sell (to cash) when the 52-day average falls below the 78-day average