Trend-Following Backtester · Guide · backtest 한국어
equity · US
Carriage Services, Inc. backtest
10 trend-following strategies were compared on the full daily history of Carriage Services, Inc.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.9%, MDD -47.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.0%, drawdown -95.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.5%, MDD -55.8%, Sharpe 0.54, 56% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 40.1%p (CAGR 7.9%, MDD -47.0%, exposure 38%).
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=10, slow=130 |
11.5% | -55.8% | 0.54 | 0.21 | 26.3x | 104 | 56% |
| Donchian 채널 돌파 entryN=82, exitN=41 |
9.9% | -62.5% | 0.50 | 0.16 | 17.0x | 50 | 45% |
| Supertrend period=17, mult=5 |
10.3% | -55.0% | 0.49 | 0.19 | 18.9x | 82 | 54% |
| EMA 크로스오버 fast=31, slow=192 |
9.4% | -52.4% | 0.48 | 0.18 | 14.7x | 38 | 58% |
| ROC 모멘텀 n=140, threshold=0.07 |
8.9% | -55.8% | 0.47 | 0.16 | 13.0x | 220 | 46% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=21, mult=1.7 |
7.9% | -47.0% | 0.44 | 0.17 | 9.7x | 162 | 38% |
| 볼린저 밴드 돌파 n=31, k=1.3 |
7.0% | -58.9% | 0.40 | 0.12 | 7.6x | 269 | 39% |
| Parabolic SAR step=0.005, maxStep=0.3 |
4.0% | -81.8% | 0.28 | 0.05 | 3.2x | 221 | 51% |
| ADX / DI 방향성 period=36, threshold=19 |
3.3% | -52.2% | 0.27 | 0.06 | 2.6x | 90 | 18% |
| MACD fast=22, slow=50, signal=16 |
0.3% | -90.5% | 0.17 | 0.00 | 1.1x | 309 | 50% |
| Buy and hold | 3.0% | -95.9% | 0.29 | 0.03 | 2.4x | 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 10-day average price crosses above the 130-day average
- Sell — Sell (to cash) when the 10-day average falls below the 130-day average