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 34.3%, MDD -32.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 29.6%, drawdown -60.1%).
Sharpe leader (same as main): Parabolic SAR — CAGR 34.3%, MDD -32.1%, Sharpe 0.95, 65% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 27.9%p (CAGR 34.3%, MDD -32.1%, exposure 65%).
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 |
34.3% | -32.1% | 0.95 | 1.07 | 28.1x | 100 | 65% |
| Supertrend period=19, mult=2 |
32.1% | -56.1% | 0.91 | 0.57 | 23.3x | 78 | 64% |
| MACD fast=14, slow=53, signal=8 |
23.7% | -38.5% | 0.80 | 0.62 | 11.1x | 124 | 39% |
| 볼린저 밴드 돌파 n=59, k=0.7 |
25.3% | -35.1% | 0.78 | 0.72 | 12.9x | 46 | 40% |
| SMA 크로스오버 fast=10, slow=83 |
26.0% | -38.9% | 0.78 | 0.67 | 13.7x | 32 | 46% |
| ROC 모멘텀 n=181, threshold=-0.03 |
24.5% | -61.5% | 0.70 | 0.40 | 11.9x | 66 | 76% |
| Donchian 채널 돌파 entryN=43, exitN=39 |
22.9% | -42.7% | 0.70 | 0.54 | 10.3x | 24 | 62% |
| EMA 크로스오버 fast=11, slow=47 |
21.8% | -40.0% | 0.69 | 0.55 | 9.4x | 44 | 45% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=18, mult=2 |
17.7% | -36.3% | 0.66 | 0.49 | 6.3x | 46 | 27% |
| ADX / DI 방향성 period=12, threshold=14 |
17.5% | -57.2% | 0.60 | 0.31 | 6.2x | 164 | 47% |
| Buy and hold | 29.6% | -60.1% | 0.76 | 0.49 | 18.9x | 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