Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cleveland-Cliffs Inc. backtest
10 trend-following strategies were compared on the full daily history of Cleveland-Cliffs Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.9%, MDD -71.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.3%, drawdown -98.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.6%, MDD -74.1%, Sharpe 0.39, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 24.8%p (CAGR 3.9%, MDD -71.9%, exposure 29%).
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=40, slow=127 |
7.6% | -74.1% | 0.39 | 0.10 | 49.3x | 121 | 52% |
| EMA 크로스오버 fast=17, slow=157 |
6.6% | -76.2% | 0.36 | 0.09 | 30.7x | 132 | 51% |
| Donchian 채널 돌파 entryN=104, exitN=50 |
5.7% | -73.2% | 0.34 | 0.08 | 19.1x | 94 | 37% |
| ROC 모멘텀 n=131, threshold=-0.03 |
4.4% | -86.0% | 0.29 | 0.05 | 10.1x | 414 | 56% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=18, mult=1.3 |
4.4% | -83.7% | 0.29 | 0.05 | 10.1x | 389 | 44% |
| Parabolic SAR step=0.035, maxStep=0.1 |
4.2% | -86.1% | 0.29 | 0.05 | 8.8x | 1113 | 51% |
| Supertrend period=28, mult=4.1 |
4.0% | -93.9% | 0.28 | 0.04 | 8.1x | 315 | 50% |
| 볼린저 밴드 돌파 n=56, k=2.2 |
3.9% | -71.9% | 0.28 | 0.05 | 7.9x | 176 | 29% |
| MACD fast=14, slow=34, signal=11 |
3.0% | -90.7% | 0.26 | 0.03 | 4.8x | 843 | 52% |
| ADX / DI 방향성 period=36, threshold=31 |
1.3% | -26.4% | 0.23 | 0.05 | 2.0x | 26 | 3% |
| Buy and hold | 3.3% | -98.9% | 0.31 | 0.03 | 5.7x | 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 40-day average price crosses above the 127-day average
- Sell — Sell (to cash) when the 40-day average falls below the 127-day average