Trend-Following Backtester · Guide · backtest 한국어
equity · KR
클래시스 backtest
10 trend-following strategies were compared on the full daily history of 클래시스. 2 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 31.6%, MDD -34.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 27.2%, drawdown -60.1%).
Sharpe leader (same as main): Parabolic SAR — CAGR 31.6%, MDD -34.8%, Sharpe 0.90, 64% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 25.3%p (CAGR 31.6%, MDD -34.8%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.14 |
31.6% | -34.8% | 0.90 | 0.91 | 23.0x | 102 | 64% |
| Supertrend period=19, mult=2 |
30.1% | -62.0% | 0.87 | 0.49 | 20.2x | 80 | 64% |
| 볼린저 밴드 돌파 n=59, k=0.7 |
25.1% | -35.1% | 0.78 | 0.71 | 12.9x | 46 | 40% |
| SMA 크로스오버 fast=10, slow=83 |
25.8% | -38.9% | 0.77 | 0.66 | 13.7x | 32 | 46% |
| MACD fast=14, slow=53, signal=8 |
21.5% | -38.5% | 0.75 | 0.56 | 9.2x | 126 | 39% |
| ROC 모멘텀 n=181, threshold=-0.03 |
24.3% | -61.5% | 0.70 | 0.39 | 11.9x | 66 | 75% |
| Donchian 채널 돌파 entryN=43, exitN=39 |
22.7% | -42.7% | 0.70 | 0.53 | 10.3x | 24 | 62% |
| EMA 크로스오버 fast=11, slow=47 |
21.7% | -40.0% | 0.69 | 0.54 | 9.4x | 44 | 45% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=18, mult=2 |
17.6% | -36.3% | 0.66 | 0.48 | 6.3x | 46 | 27% |
| ADX / DI 방향성 period=12, threshold=14 |
17.4% | -57.9% | 0.60 | 0.30 | 6.3x | 166 | 47% |
| Buy and hold | 27.2% | -60.1% | 0.72 | 0.45 | 15.5x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots