Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Capital B backtest
10 trend-following strategies were compared on the full daily history of Capital B. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 14.1%, MDD -64.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.6%, drawdown -98.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 25.8%, MDD -71.7%, Sharpe 0.66, 32% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 39.4%p higher than buy and hold, while drawdown improves by 26.8%p (CAGR 14.1%, MDD -64.5%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=38, slow=118 |
25.8% | -71.7% | 0.66 | 0.36 | 32.3x | 20 | 32% |
| Donchian 채널 돌파 entryN=103, exitN=35 |
25.1% | -82.3% | 0.65 | 0.30 | 29.6x | 22 | 29% |
| SMA 크로스오버 fast=25, slow=155 |
24.6% | -72.9% | 0.64 | 0.34 | 28.1x | 22 | 33% |
| 볼린저 밴드 돌파 n=27, k=2.7 |
18.9% | -68.3% | 0.56 | 0.28 | 13.9x | 51 | 15% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=28, mult=2.3 |
15.7% | -69.0% | 0.51 | 0.23 | 9.1x | 51 | 16% |
| Supertrend period=27, mult=4.6 |
13.9% | -82.1% | 0.48 | 0.17 | 7.2x | 39 | 38% |
| ADX / DI 방향성 period=15, threshold=36 |
14.1% | -64.5% | 0.48 | 0.22 | 7.4x | 34 | 8% |
| ROC 모멘텀 n=145, threshold=-0.04 |
9.8% | -87.3% | 0.43 | 0.11 | 4.1x | 98 | 40% |
| MACD fast=19, slow=69, signal=15 |
8.8% | -92.4% | 0.43 | 0.10 | 3.6x | 143 | 54% |
| Parabolic SAR step=0.03, maxStep=0.36 |
3.5% | -90.8% | 0.35 | 0.04 | 1.7x | 325 | 49% |
| Buy and hold | -13.6% | -98.5% | 0.25 | -0.14 | 0.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 38-day EMA crosses above the 118-day EMA
- Sell — Sell when the 38-day EMA falls below the 118-day EMA