Trend-Following Backtester · Guide · backtest 한국어
equity · BE
CMB.TECH NV backtest
10 trend-following strategies were compared on the full daily history of CMB.TECH NV. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -13.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.8%, drawdown -90.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.8%, MDD -62.4%, Sharpe 0.34, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 28.0%p (CAGR 0.2%, MDD -13.3%, exposure 1%).
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=63, slow=150 |
5.8% | -62.4% | 0.34 | 0.09 | 3.4x | 39 | 47% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
2.4% | -31.1% | 0.26 | 0.08 | 1.7x | 8 | 4% |
| Donchian 채널 돌파 entryN=91, exitN=45 |
3.1% | -53.2% | 0.24 | 0.06 | 1.9x | 37 | 34% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=21, mult=3.1 |
1.7% | -27.4% | 0.20 | 0.06 | 1.4x | 30 | 5% |
| EMA 크로스오버 fast=29, slow=40 |
0.9% | -54.0% | 0.17 | 0.02 | 1.2x | 99 | 48% |
| ROC 모멘텀 n=147, threshold=-0.02 |
0.5% | -70.7% | 0.16 | 0.01 | 1.1x | 189 | 52% |
| ADX / DI 방향성 period=26, threshold=38 |
0.2% | -13.3% | 0.08 | 0.02 | 1.1x | 2 | 1% |
| Supertrend period=26, mult=3.9 |
-1.7% | -68.0% | 0.07 | -0.02 | 0.7x | 106 | 49% |
| MACD fast=7, slow=33, signal=8 |
-5.2% | -90.6% | -0.05 | -0.06 | 0.3x | 505 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-5.8% | -83.2% | -0.08 | -0.07 | 0.3x | 377 | 50% |
| Buy and hold | -2.8% | -90.4% | 0.13 | -0.03 | 0.5x | 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 63-day average price crosses above the 150-day average
- Sell — Sell (to cash) when the 63-day average falls below the 150-day average