Trend-Following Backtester · Guide · backtest 한국어
equity · DK
cBrain A/S backtest
10 trend-following strategies were compared on the full daily history of cBrain A/S. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 19.8%, MDD -44.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 13.1%, drawdown -90.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.7%, MDD -55.7%, Sharpe 0.74, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 34.3%p (CAGR 19.8%, MDD -44.5%, exposure 23%).
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=43, slow=174 |
24.7% | -55.7% | 0.74 | 0.44 | 92.3x | 28 | 48% |
| 볼린저 밴드 돌파 n=39, k=2.4 |
19.8% | -44.5% | 0.73 | 0.44 | 40.7x | 63 | 23% |
| EMA 크로스오버 fast=47, slow=175 |
23.3% | -53.9% | 0.71 | 0.43 | 73.0x | 24 | 47% |
| Donchian 채널 돌파 entryN=77, exitN=65 |
22.2% | -53.9% | 0.69 | 0.41 | 60.9x | 25 | 48% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=26, mult=3.5 |
14.2% | -45.6% | 0.61 | 0.31 | 15.1x | 45 | 16% |
| ROC 모멘텀 n=187, threshold=0.11 |
17.1% | -68.1% | 0.60 | 0.25 | 25.6x | 88 | 39% |
| ADX / DI 방향성 period=16, threshold=24 |
13.5% | -55.0% | 0.56 | 0.24 | 13.4x | 117 | 18% |
| Supertrend period=25, mult=4.3 |
10.1% | -79.8% | 0.44 | 0.13 | 7.2x | 79 | 41% |
| Parabolic SAR step=0.015, maxStep=0.24 |
8.7% | -85.5% | 0.41 | 0.10 | 5.5x | 289 | 46% |
| MACD fast=22, slow=50, signal=24 |
0.2% | -90.7% | 0.21 | 0.00 | 1.0x | 193 | 51% |
| Buy and hold | 13.1% | -90.1% | 0.50 | 0.15 | 12.6x | 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 43-day average price crosses above the 174-day average
- Sell — Sell (to cash) when the 43-day average falls below the 174-day average