Trend-Following Backtester · Guide · backtest 한국어
equity · US
Check Point Software Technologies Ltd. backtest
10 trend-following strategies were compared on the full daily history of Check Point Software Technologies Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.2%, MDD -64.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.2%, drawdown -89.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.2%, MDD -64.6%, Sharpe 0.47, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 24.7%p (CAGR 11.2%, MDD -64.6%, exposure 62%).
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=41, slow=287 |
11.2% | -64.6% | 0.47 | 0.17 | 24.5x | 42 | 62% |
| EMA 크로스오버 fast=51, slow=117 |
10.7% | -61.5% | 0.46 | 0.17 | 21.3x | 52 | 61% |
| Donchian 채널 돌파 entryN=49, exitN=16 |
8.8% | -63.8% | 0.45 | 0.14 | 12.5x | 110 | 37% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=8, mult=3 |
7.0% | -41.2% | 0.44 | 0.17 | 7.7x | 72 | 16% |
| ROC 모멘텀 n=122, threshold=-0.09 |
9.0% | -88.0% | 0.42 | 0.10 | 13.5x | 204 | 77% |
| 볼린저 밴드 돌파 n=51, k=2.2 |
7.4% | -62.1% | 0.41 | 0.12 | 8.7x | 108 | 34% |
| Supertrend period=20, mult=5 |
7.6% | -80.4% | 0.39 | 0.09 | 8.9x | 84 | 55% |
| ADX / DI 방향성 period=33, threshold=24 |
4.0% | -52.6% | 0.33 | 0.08 | 3.2x | 30 | 7% |
| Parabolic SAR step=0.005, maxStep=0.06 |
3.6% | -82.8% | 0.27 | 0.04 | 2.9x | 258 | 54% |
| MACD fast=18, slow=30, signal=18 |
-6.4% | -97.7% | -0.03 | -0.07 | 0.1x | 393 | 52% |
| Buy and hold | 12.2% | -89.3% | 0.48 | 0.14 | 31.6x | 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 41-day average price crosses above the 287-day average
- Sell — Sell (to cash) when the 41-day average falls below the 287-day average