Trend-Following Backtester · Guide · backtest 한국어
equity · US
Core & Main, Inc. backtest
10 trend-following strategies were compared on the full daily history of Core & Main, Inc.. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.3%, MDD -29.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.9%, drawdown -40.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.7%, MDD -23.7%, Sharpe 0.72, 15% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.3%, MDD -29.9%, exposure 47%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 10.2%p lower than buy and hold, while drawdown improves by 16.3%p (CAGR 13.3%, MDD -29.9%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=29, mult=3.1 |
6.7% | -23.7% | 0.72 | 0.28 | 1.4x | 10 | 15% |
| 볼린저 밴드 돌파 n=36, k=2.2 |
11.4% | -26.2% | 0.64 | 0.44 | 1.7x | 16 | 35% |
| SMA 크로스오버 fast=53, slow=162 |
13.3% | -29.9% | 0.63 | 0.44 | 1.9x | 6 | 47% |
| ADX / DI 방향성 period=21, threshold=20 |
8.8% | -26.5% | 0.62 | 0.33 | 1.5x | 30 | 29% |
| ROC 모멘텀 n=146, threshold=0.13 |
7.8% | -33.1% | 0.45 | 0.24 | 1.5x | 24 | 36% |
| Donchian 채널 돌파 entryN=109, exitN=74 |
7.2% | -49.8% | 0.41 | 0.14 | 1.4x | 4 | 45% |
| Supertrend period=19, mult=4.4 |
6.5% | -34.0% | 0.37 | 0.19 | 1.4x | 14 | 48% |
| EMA 크로스오버 fast=53, slow=57 |
4.7% | -46.3% | 0.31 | 0.10 | 1.3x | 12 | 52% |
| MACD fast=13, slow=42, signal=16 |
-2.0% | -53.2% | 0.04 | -0.04 | 0.9x | 68 | 49% |
| Parabolic SAR step=0.06, maxStep=0.16 |
-8.7% | -63.5% | -0.16 | -0.14 | 0.6x | 174 | 54% |
| Buy and hold | 16.9% | -40.0% | 0.59 | 0.42 | 2.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 23-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 23-day average