Trend-Following Backtester · Guide · backtest 한국어
equity · US
CBIZ, Inc. backtest
10 trend-following strategies were compared on the full daily history of CBIZ, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.6%, MDD -66.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.2%, drawdown -96.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.6%, MDD -70.8%, Sharpe 0.51, 56% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 25.4%p (CAGR 12.6%, MDD -66.1%, exposure 57%).
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=22, slow=49 |
15.6% | -70.8% | 0.51 | 0.22 | 93.2x | 169 | 56% |
| EMA 크로스오버 fast=22, slow=37 |
12.6% | -66.1% | 0.45 | 0.19 | 41.3x | 163 | 57% |
| Donchian 채널 돌파 entryN=71, exitN=73 |
11.7% | -87.9% | 0.43 | 0.13 | 31.9x | 41 | 57% |
| Supertrend period=8, mult=4.7 |
11.6% | -72.5% | 0.43 | 0.16 | 30.6x | 85 | 56% |
| ADX / DI 방향성 period=24, threshold=16 |
10.1% | -79.8% | 0.40 | 0.13 | 20.5x | 229 | 30% |
| Parabolic SAR step=0.005, maxStep=0.26 |
8.2% | -82.3% | 0.37 | 0.10 | 11.8x | 257 | 52% |
| MACD fast=39, slow=46, signal=34 |
6.4% | -88.8% | 0.34 | 0.07 | 6.9x | 221 | 53% |
| 볼린저 밴드 돌파 n=31, k=1.7 |
6.1% | -80.2% | 0.31 | 0.08 | 6.4x | 259 | 36% |
| ROC 모멘텀 n=72, threshold=0.03 |
4.1% | -90.5% | 0.28 | 0.04 | 3.5x | 431 | 49% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=24, mult=3.8 |
4.4% | -78.2% | 0.25 | 0.06 | 3.8x | 57 | 18% |
| Buy and hold | 12.2% | -96.2% | 0.47 | 0.13 | 36.5x | 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 22-day average price crosses above the 49-day average
- Sell — Sell (to cash) when the 22-day average falls below the 49-day average