Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Modec, Inc. backtest
10 trend-following strategies were compared on the full daily history of Modec, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.4%, MDD -57.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.3%, drawdown -79.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.1%, MDD -61.0%, Sharpe 0.49, 55% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 18.6%p (CAGR 7.4%, MDD -57.5%, exposure 42%).
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=47, slow=110 |
11.1% | -61.0% | 0.49 | 0.18 | 11.3x | 58 | 55% |
| MACD fast=13, slow=34, signal=11 |
8.2% | -60.2% | 0.41 | 0.14 | 6.2x | 327 | 50% |
| EMA 크로스오버 fast=42, slow=127 |
8.0% | -64.7% | 0.40 | 0.12 | 5.9x | 40 | 54% |
| ADX / DI 방향성 period=35, threshold=24 |
5.2% | -28.2% | 0.40 | 0.19 | 3.2x | 16 | 8% |
| Donchian 채널 돌파 entryN=102, exitN=56 |
7.4% | -57.5% | 0.39 | 0.13 | 5.2x | 34 | 42% |
| ROC 모멘텀 n=96, threshold=-0.03 |
3.4% | -84.0% | 0.27 | 0.04 | 2.1x | 252 | 62% |
| Parabolic SAR step=0.03, maxStep=0.08 |
2.3% | -66.5% | 0.23 | 0.03 | 1.7x | 419 | 50% |
| Supertrend period=10, mult=4.6 |
0.4% | -79.3% | 0.18 | 0.00 | 1.1x | 102 | 60% |
| 볼린저 밴드 돌파 n=19, k=1.3 |
-0.1% | -65.9% | 0.14 | -0.00 | 1.0x | 322 | 40% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=17, mult=0.6 |
-2.3% | -80.1% | 0.06 | -0.03 | 0.6x | 446 | 45% |
| Buy and hold | 7.3% | -79.6% | 0.39 | 0.09 | 5.1x | 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 47-day average price crosses above the 110-day average
- Sell — Sell (to cash) when the 47-day average falls below the 110-day average