Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cogent Communications Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cogent Communications Holdings, Inc.. 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 1.7%, MDD -52.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.2%, drawdown -96.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.0%, MDD -90.9%, Sharpe 0.45, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.2%p higher than buy and hold, while drawdown improves by 5.7%p (CAGR 1.7%, MDD -52.1%, exposure 7%).
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=54, slow=96 |
12.0% | -90.9% | 0.45 | 0.13 | 16.3x | 62 | 53% |
| Supertrend period=19, mult=3 |
9.2% | -76.4% | 0.39 | 0.12 | 8.6x | 138 | 50% |
| ROC 모멘텀 n=124, threshold=-0.09 |
7.3% | -89.4% | 0.37 | 0.08 | 5.7x | 152 | 67% |
| Donchian 채널 돌파 entryN=9, exitN=76 |
3.2% | -88.9% | 0.37 | 0.04 | 2.2x | 72 | 85% |
| 볼린저 밴드 돌파 n=51, k=1.5 |
5.2% | -73.8% | 0.32 | 0.07 | 3.5x | 128 | 41% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=25, mult=3 |
4.6% | -77.8% | 0.29 | 0.06 | 3.0x | 78 | 26% |
| EMA 크로스오버 fast=33, slow=66 |
2.9% | -89.5% | 0.28 | 0.03 | 2.0x | 66 | 52% |
| Parabolic SAR step=0.01, maxStep=0.2 |
1.8% | -90.8% | 0.27 | 0.02 | 1.6x | 326 | 51% |
| MACD fast=24, slow=32, signal=13 |
-1.9% | -96.2% | 0.24 | -0.02 | 0.6x | 316 | 54% |
| ADX / DI 방향성 period=17, threshold=34 |
1.7% | -52.1% | 0.17 | 0.03 | 1.5x | 46 | 7% |
| Buy and hold | -9.2% | -96.6% | 0.24 | -0.10 | 0.1x | 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 54-day average price crosses above the 96-day average
- Sell — Sell (to cash) when the 54-day average falls below the 96-day average