Trend-Following Backtester · Guide · backtest 한국어
equity · KR
큐리언트 backtest
10 trend-following strategies were compared on the full daily history of 큐리언트. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.7%, MDD -18.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.2%, drawdown -94.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.3%, MDD -60.9%, Sharpe 0.47, 41% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.5%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 3.7%, MDD -18.3%, exposure 2%).
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=46, slow=126 |
11.3% | -60.9% | 0.47 | 0.19 | 3.1x | 22 | 41% |
| Supertrend period=13, mult=4.7 |
11.1% | -68.8% | 0.46 | 0.16 | 3.0x | 24 | 54% |
| EMA 크로스오버 fast=30, slow=172 |
10.1% | -65.5% | 0.44 | 0.15 | 2.7x | 12 | 34% |
| ADX / DI 방향성 period=31, threshold=39 |
3.7% | -18.3% | 0.41 | 0.20 | 1.5x | 2 | 2% |
| Donchian 채널 돌파 entryN=112, exitN=39 |
3.8% | -82.3% | 0.30 | 0.05 | 1.5x | 12 | 34% |
| 볼린저 밴드 돌파 n=11, k=1.4 |
3.0% | -59.0% | 0.26 | 0.05 | 1.4x | 162 | 28% |
| MACD fast=17, slow=39, signal=3 |
0.5% | -75.9% | 0.26 | 0.01 | 1.0x | 196 | 54% |
| Parabolic SAR step=0.04, maxStep=0.36 |
-0.6% | -81.6% | 0.23 | -0.01 | 0.9x | 280 | 53% |
| ROC 모멘텀 n=110, threshold=0.12 |
1.6% | -86.1% | 0.23 | 0.02 | 1.2x | 76 | 28% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=22, mult=2.1 |
-0.2% | -77.3% | 0.15 | -0.00 | 1.0x | 54 | 20% |
| Buy and hold | -4.2% | -94.5% | 0.27 | -0.04 | 0.6x | 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 46-day average price crosses above the 126-day average
- Sell — Sell (to cash) when the 46-day average falls below the 126-day average