Trend-Following Backtester · Guide · backtest 한국어
equity · US
ChronoScale Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of ChronoScale Holdings Corporation. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.0%, MDD -50.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -33.8%, drawdown -100.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.4%, MDD -67.6%, Sharpe 0.30, 18% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 37.3%p higher than buy and hold, while drawdown improves by 32.3%p (CAGR 3.0%, MDD -50.9%, exposure 4%).
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=13, slow=273 |
3.4% | -67.6% | 0.30 | 0.05 | 1.5x | 15 | 18% |
| MACD fast=24, slow=58, signal=11 |
-6.8% | -88.8% | 0.28 | -0.08 | 0.4x | 132 | 52% |
| ADX / DI 방향성 period=11, threshold=21 |
-7.0% | -94.3% | 0.25 | -0.07 | 0.4x | 176 | 37% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=19, mult=2.8 |
3.0% | -50.9% | 0.25 | 0.06 | 1.4x | 22 | 4% |
| Donchian 채널 돌파 entryN=39, exitN=60 |
-8.6% | -96.1% | 0.23 | -0.09 | 0.3x | 25 | 49% |
| 볼린저 밴드 돌파 n=56, k=1.2 |
-4.8% | -89.9% | 0.21 | -0.05 | 0.5x | 52 | 25% |
| ROC 모멘텀 n=143, threshold=0.1 |
-3.3% | -90.3% | 0.20 | -0.04 | 0.7x | 77 | 23% |
| EMA 크로스오버 fast=17, slow=195 |
-1.8% | -74.6% | 0.19 | -0.02 | 0.8x | 15 | 16% |
| Supertrend period=11, mult=4.6 |
-14.5% | -99.2% | 0.16 | -0.15 | 0.1x | 43 | 40% |
| Parabolic SAR step=0.04, maxStep=0.22 |
-27.6% | -99.5% | -0.08 | -0.28 | 0.0x | 364 | 42% |
| Buy and hold | -33.8% | -100.0% | 0.11 | -0.34 | 0.0x | 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 13-day average price crosses above the 273-day average
- Sell — Sell (to cash) when the 13-day average falls below the 273-day average