Trend-Following Backtester · Guide · backtest 한국어
equity · US
Corsair Gaming, Inc. backtest
10 trend-following strategies were compared on the full daily history of Corsair Gaming, Inc.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.0%, MDD -30.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.0%, drawdown -91.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.5%, MDD -55.9%, Sharpe 0.45, 13% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.5%p higher than buy and hold, while drawdown improves by 35.2%p (CAGR 7.0%, MDD -30.9%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=9, threshold=32 |
9.5% | -55.9% | 0.45 | 0.17 | 1.7x | 44 | 13% |
| ROC 모멘텀 n=82, threshold=0.08 |
9.1% | -42.8% | 0.43 | 0.21 | 1.7x | 27 | 21% |
| Supertrend period=10, mult=4.5 |
8.7% | -71.8% | 0.41 | 0.12 | 1.6x | 17 | 38% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=15, mult=4 |
7.0% | -30.9% | 0.40 | 0.23 | 1.5x | 3 | 7% |
| EMA 크로스오버 fast=18, slow=21 |
6.3% | -71.4% | 0.35 | 0.09 | 1.4x | 37 | 38% |
| 볼린저 밴드 돌파 n=59, k=3.1 |
5.5% | -34.9% | 0.34 | 0.16 | 1.4x | 3 | 7% |
| Donchian 채널 돌파 entryN=79, exitN=38 |
5.8% | -40.4% | 0.34 | 0.14 | 1.4x | 5 | 21% |
| SMA 크로스오버 fast=34, slow=122 |
5.9% | -55.3% | 0.33 | 0.11 | 1.4x | 11 | 26% |
| MACD fast=15, slow=16, signal=14 |
-4.4% | -70.1% | 0.10 | -0.06 | 0.8x | 93 | 48% |
| Parabolic SAR step=0.02, maxStep=0.08 |
-8.7% | -83.4% | -0.01 | -0.10 | 0.6x | 99 | 44% |
| Buy and hold | -5.0% | -91.1% | 0.21 | -0.05 | 0.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 9-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)