Trend-Following Backtester · Guide · backtest 한국어
equity · US
CEVA, Inc. backtest
10 trend-following strategies were compared on the full daily history of CEVA, Inc.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.0%, drawdown -78.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.4%, MDD -32.6%, Sharpe 0.40, 12% exposure.
CAGR reference leader: Supertrend — CAGR 6.5%, MDD -69.0%, exposure 50%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=34, k=3.2 |
5.4% | -32.6% | 0.40 | 0.17 | 3.5x | 42 | 12% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=15, mult=2 |
6.3% | -63.1% | 0.36 | 0.10 | 4.3x | 100 | 35% |
| Supertrend period=14, mult=3.9 |
6.5% | -69.0% | 0.36 | 0.09 | 4.5x | 90 | 50% |
| EMA 크로스오버 fast=12, slow=84 |
5.3% | -66.5% | 0.32 | 0.08 | 3.4x | 94 | 51% |
| ADX / DI 방향성 period=32, threshold=33 |
1.9% | -19.9% | 0.32 | 0.10 | 1.6x | 4 | 2% |
| SMA 크로스오버 fast=18, slow=76 |
4.4% | -83.3% | 0.30 | 0.05 | 2.8x | 95 | 52% |
| Donchian 채널 돌파 entryN=33, exitN=42 |
2.5% | -82.1% | 0.25 | 0.03 | 1.8x | 68 | 57% |
| MACD fast=31, slow=59, signal=31 |
1.5% | -87.5% | 0.22 | 0.02 | 1.4x | 160 | 52% |
| ROC 모멘텀 n=62, threshold=-0.02 |
-0.9% | -81.9% | 0.16 | -0.01 | 0.8x | 293 | 57% |
| Parabolic SAR step=0.005, maxStep=0.44 |
-1.5% | -85.4% | 0.13 | -0.02 | 0.7x | 194 | 49% |
| Buy and hold | 8.0% | -78.2% | 0.40 | 0.10 | 6.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 34-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 34-day middle average