Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cboe Global Markets, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cboe Global Markets, Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like. The return/drawdown alternative is Supertrend (CAGR 12.2%, MDD -25.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.7%, drawdown -44.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 17.6%, MDD -34.2%, Sharpe 0.82, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Supertrend — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 10.5%p (CAGR 12.2%, MDD -25.1%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=14, threshold=-0.12 |
17.6% | -34.2% | 0.82 | 0.52 | 13.9x | 21 | 98% |
| SMA 크로스오버 fast=10, slow=117 |
13.7% | -32.8% | 0.78 | 0.42 | 8.0x | 43 | 68% |
| Donchian 채널 돌파 entryN=22, exitN=50 |
13.4% | -32.4% | 0.73 | 0.41 | 7.7x | 37 | 76% |
| Supertrend period=11, mult=4.2 |
12.2% | -25.1% | 0.73 | 0.48 | 6.4x | 43 | 64% |
| EMA 크로스오버 fast=18, slow=90 |
12.3% | -33.0% | 0.71 | 0.37 | 6.6x | 35 | 69% |
| ADX / DI 방향성 period=30, threshold=24 |
4.5% | -16.8% | 0.70 | 0.27 | 2.0x | 16 | 13% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=26, mult=3.7 |
3.9% | -18.9% | 0.53 | 0.20 | 1.9x | 22 | 13% |
| 볼린저 밴드 돌파 n=17, k=3.1 |
2.0% | -6.2% | 0.52 | 0.31 | 1.4x | 12 | 3% |
| Parabolic SAR step=0.005, maxStep=0.38 |
3.1% | -42.3% | 0.26 | 0.07 | 1.6x | 157 | 58% |
| MACD fast=18, slow=30, signal=15 |
1.4% | -38.4% | 0.16 | 0.04 | 1.2x | 215 | 52% |
| Buy and hold | 14.7% | -44.7% | 0.67 | 0.33 | 9.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 14-day return is greater than -12%
- Sell — Sell when the 14-day return drops to -12% or below