Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Cupid Limited backtest
10 trend-following strategies were compared on the full daily history of Cupid Limited. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 61.1%, MDD -48.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 60.1%, drawdown -69.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 54.8%, MDD -39.7%, Sharpe 1.64, 24% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 61.1%, MDD -48.2%, exposure 48%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.3%p lower than buy and hold, while drawdown improves by 30.1%p (CAGR 61.1%, MDD -48.2%, exposure 48%).
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=59, threshold=0.26 |
54.8% | -39.7% | 1.64 | 1.38 | 77.7x | 37 | 24% |
| Donchian 채널 돌파 entryN=72, exitN=5 |
47.1% | -37.6% | 1.61 | 1.25 | 46.6x | 38 | 20% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=16, mult=3.4 |
44.2% | -40.3% | 1.49 | 1.10 | 38.2x | 19 | 20% |
| EMA 크로스오버 fast=20, slow=66 |
61.1% | -48.2% | 1.48 | 1.27 | 115.4x | 27 | 48% |
| ADX / DI 방향성 period=37, threshold=37 |
29.1% | -31.5% | 1.47 | 0.92 | 12.7x | 8 | 9% |
| 볼린저 밴드 돌파 n=50, k=2 |
52.4% | -59.3% | 1.47 | 0.88 | 66.2x | 37 | 36% |
| SMA 크로스오버 fast=9, slow=83 |
58.0% | -55.8% | 1.43 | 1.04 | 95.0x | 37 | 49% |
| Supertrend period=18, mult=5 |
49.9% | -52.7% | 1.30 | 0.95 | 56.2x | 25 | 51% |
| Parabolic SAR step=0.01, maxStep=0.24 |
39.5% | -48.1% | 1.11 | 0.82 | 27.4x | 112 | 51% |
| MACD fast=6, slow=30, signal=4 |
31.3% | -57.7% | 0.92 | 0.54 | 15.0x | 312 | 49% |
| Buy and hold | 60.1% | -69.9% | 1.21 | 0.86 | 108.6x | 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 59-day return is greater than 26%
- Sell — Sell when the 59-day return drops to 26% or below