Trend-Following Backtester · Guide · backtest 한국어
equity · US
CDW Corporation backtest
10 trend-following strategies were compared on the full daily history of CDW Corporation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.3%, drawdown -61.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.9%, MDD -32.9%, Sharpe 0.65, 67% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=31, slow=126 |
11.9% | -32.9% | 0.65 | 0.36 | 4.4x | 21 | 67% |
| ROC 모멘텀 n=129, threshold=-0.01 |
10.1% | -58.2% | 0.57 | 0.17 | 3.6x | 93 | 69% |
| SMA 크로스오버 fast=23, slow=116 |
9.9% | -41.5% | 0.55 | 0.24 | 3.4x | 27 | 67% |
| Donchian 채널 돌파 entryN=71, exitN=72 |
8.8% | -30.2% | 0.53 | 0.29 | 3.1x | 19 | 62% |
| Supertrend period=25, mult=4.4 |
9.0% | -45.3% | 0.51 | 0.20 | 3.1x | 49 | 63% |
| Parabolic SAR step=0.005, maxStep=0.22 |
6.3% | -59.4% | 0.40 | 0.11 | 2.2x | 117 | 57% |
| ADX / DI 방향성 period=22, threshold=45 |
0.7% | -4.1% | 0.31 | 0.17 | 1.1x | 2 | 1% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
1.1% | -9.4% | 0.26 | 0.12 | 1.2x | 6 | 4% |
| MACD fast=12, slow=49, signal=19 |
1.7% | -48.1% | 0.19 | 0.04 | 1.2x | 165 | 49% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=10, mult=0.6 |
0.3% | -52.1% | 0.12 | 0.01 | 1.0x | 163 | 58% |
| Buy and hold | 17.3% | -61.5% | 0.69 | 0.28 | 8.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 31-day EMA crosses above the 126-day EMA
- Sell — Sell when the 31-day EMA falls below the 126-day EMA