Trend-Following Backtester · Guide · backtest 한국어
equity · US
Custom Truck One Source, Inc. backtest
10 trend-following strategies were compared on the full daily history of Custom Truck One Source, Inc.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.2%, MDD -9.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.8%, drawdown -82.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.2%, MDD -17.8%, Sharpe 0.56, 17% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.8%, MDD -66.4%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 65.1%p (CAGR 4.2%, MDD -9.4%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=32, k=2.7 |
8.2% | -17.8% | 0.56 | 0.46 | 2.0x | 22 | 17% |
| ADX / DI 방향성 period=33, threshold=30 |
4.2% | -9.4% | 0.53 | 0.45 | 1.4x | 4 | 4% |
| SMA 크로스오버 fast=47, slow=216 |
8.8% | -66.4% | 0.42 | 0.13 | 2.1x | 15 | 47% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=14, mult=2.8 |
6.5% | -24.0% | 0.40 | 0.27 | 1.7x | 28 | 24% |
| Supertrend period=26, mult=1.4 |
5.7% | -67.2% | 0.33 | 0.08 | 1.6x | 172 | 53% |
| Donchian 채널 돌파 entryN=21, exitN=19 |
4.6% | -56.2% | 0.30 | 0.08 | 1.5x | 48 | 49% |
| EMA 크로스오버 fast=56, slow=163 |
3.0% | -71.3% | 0.25 | 0.04 | 1.3x | 13 | 49% |
| ROC 모멘텀 n=103, threshold=0.11 |
2.5% | -71.2% | 0.22 | 0.03 | 1.2x | 63 | 27% |
| Parabolic SAR step=0.02, maxStep=0.08 |
0.3% | -69.6% | 0.18 | 0.00 | 1.0x | 148 | 50% |
| MACD fast=8, slow=46, signal=11 |
-4.9% | -76.7% | 0.07 | -0.06 | 0.6x | 174 | 50% |
| Buy and hold | -0.8% | -82.9% | 0.26 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 32-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 32-day middle average