Trend-Following Backtester · Guide · backtest 한국어
equity · US
Coherent Corp. backtest
10 trend-following strategies were compared on the full daily history of Coherent Corp.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.1%, drawdown -80.9%).
Sharpe leader (same as main): Supertrend — CAGR 13.3%, MDD -84.0%, Sharpe 0.50, 53% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=4.1 |
13.3% | -84.0% | 0.50 | 0.16 | 126.6x | 164 | 53% |
| EMA 크로스오버 fast=32, slow=256 |
13.0% | -71.8% | 0.49 | 0.18 | 115.7x | 59 | 59% |
| SMA 크로스오버 fast=6, slow=95 |
11.5% | -87.0% | 0.46 | 0.13 | 67.8x | 192 | 56% |
| Donchian 채널 돌파 entryN=27, exitN=69 |
10.0% | -88.0% | 0.44 | 0.11 | 40.8x | 108 | 74% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=2 |
7.5% | -91.5% | 0.37 | 0.08 | 16.5x | 198 | 40% |
| ADX / DI 방향성 period=36, threshold=20 |
6.5% | -80.6% | 0.36 | 0.08 | 11.5x | 76 | 15% |
| Parabolic SAR step=0.015, maxStep=0.28 |
5.5% | -78.2% | 0.33 | 0.07 | 7.9x | 614 | 52% |
| ROC 모멘텀 n=133, threshold=0.02 |
4.0% | -94.6% | 0.30 | 0.04 | 4.6x | 405 | 56% |
| 볼린저 밴드 돌파 n=37, k=1.9 |
4.3% | -82.1% | 0.29 | 0.05 | 5.2x | 240 | 34% |
| MACD fast=18, slow=43, signal=15 |
-2.5% | -95.1% | 0.14 | -0.03 | 0.4x | 516 | 52% |
| Buy and hold | 18.1% | -80.9% | 0.57 | 0.22 | 643.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 28-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)