Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Celestica Inc. backtest
10 trend-following strategies were compared on the full daily history of Celestica Inc.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 13.2%, drawdown -97.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.4%, MDD -81.8%, Sharpe 0.56, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=10, slow=101 |
14.4% | -81.8% | 0.56 | 0.18 | 43.7x | 94 | 53% |
| 볼린저 밴드 돌파 n=72, k=1.4 |
13.0% | -79.4% | 0.56 | 0.16 | 31.2x | 96 | 42% |
| SMA 크로스오버 fast=14, slow=177 |
13.6% | -78.6% | 0.53 | 0.17 | 35.6x | 63 | 54% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=23, mult=3.6 |
10.5% | -78.6% | 0.50 | 0.13 | 16.5x | 74 | 34% |
| Supertrend period=24, mult=3.4 |
11.1% | -78.3% | 0.48 | 0.14 | 19.0x | 162 | 51% |
| Donchian 채널 돌파 entryN=97, exitN=55 |
9.8% | -71.7% | 0.46 | 0.14 | 13.9x | 46 | 43% |
| ROC 모멘텀 n=165, threshold=0.05 |
10.3% | -90.5% | 0.45 | 0.11 | 15.6x | 209 | 50% |
| ADX / DI 방향성 period=16, threshold=22 |
8.7% | -63.6% | 0.45 | 0.14 | 10.4x | 250 | 30% |
| MACD fast=15, slow=37, signal=26 |
8.7% | -84.6% | 0.41 | 0.10 | 10.5x | 296 | 49% |
| Parabolic SAR step=0.02, maxStep=0.18 |
3.5% | -95.2% | 0.27 | 0.04 | 2.6x | 575 | 53% |
| Buy and hold | 13.2% | -97.3% | 0.50 | 0.14 | 32.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 10-day EMA crosses above the 101-day EMA
- Sell — Sell when the 10-day EMA falls below the 101-day EMA