Trend-Following Backtester · Guide · backtest 한국어
equity · PL
cyber_Folks SA backtest
10 trend-following strategies were compared on the full daily history of cyber_Folks SA. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 31.4%, MDD -29.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 31.2%, drawdown -44.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 31.4%, MDD -29.8%, Sharpe 1.00, 70% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 14.6%p (CAGR 31.4%, MDD -29.8%, exposure 70%).
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=57, slow=189 |
31.4% | -29.8% | 1.00 | 1.05 | 10.4x | 5 | 70% |
| ROC 모멘텀 n=199, threshold=-0.03 |
31.1% | -29.8% | 0.98 | 1.05 | 10.3x | 11 | 74% |
| EMA 크로스오버 fast=48, slow=116 |
30.6% | -29.8% | 0.98 | 1.03 | 9.9x | 7 | 73% |
| Supertrend period=18, mult=4.9 |
27.0% | -25.9% | 0.90 | 1.04 | 7.8x | 13 | 71% |
| Donchian 채널 돌파 entryN=95, exitN=78 |
23.6% | -37.6% | 0.82 | 0.63 | 6.2x | 6 | 70% |
| ADX / DI 방향성 period=29, threshold=21 |
6.8% | -20.6% | 0.48 | 0.33 | 1.8x | 24 | 18% |
| 볼린저 밴드 돌파 n=53, k=1.9 |
9.0% | -32.0% | 0.48 | 0.28 | 2.1x | 36 | 41% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=20, mult=1.6 |
9.2% | -30.2% | 0.47 | 0.30 | 2.1x | 46 | 48% |
| MACD fast=25, slow=70, signal=21 |
8.2% | -50.2% | 0.43 | 0.16 | 2.0x | 66 | 48% |
| Parabolic SAR step=0.005, maxStep=0.34 |
3.3% | -49.4% | 0.25 | 0.07 | 1.3x | 64 | 52% |
| Buy and hold | 31.2% | -44.3% | 0.89 | 0.70 | 10.3x | 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 57-day average price crosses above the 189-day average
- Sell — Sell (to cash) when the 57-day average falls below the 189-day average