Trend-Following Backtester · Guide · backtest 한국어
equity · CN
3Peak Incorporated Class A backtest
10 trend-following strategies were compared on the full daily history of 3Peak Incorporated Class A. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 22.7%, MDD -51.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 8.5%, drawdown -88.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.7%, MDD -51.9%, Sharpe 0.71, 44% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 14.2%p higher than buy and hold, while drawdown improves by 37.1%p (CAGR 22.7%, MDD -51.9%, exposure 44%).
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=72, slow=154 |
22.7% | -51.9% | 0.71 | 0.44 | 3.3x | 5 | 44% |
| ROC 모멘텀 n=119, threshold=-0.03 |
16.7% | -60.1% | 0.57 | 0.28 | 2.5x | 39 | 48% |
| EMA 크로스오버 fast=27, slow=150 |
15.7% | -56.6% | 0.57 | 0.28 | 2.4x | 7 | 41% |
| Donchian 채널 돌파 entryN=59, exitN=70 |
9.9% | -54.3% | 0.44 | 0.18 | 1.7x | 5 | 49% |
| Supertrend period=28, mult=3.2 |
7.9% | -68.4% | 0.40 | 0.12 | 1.6x | 32 | 43% |
| ADX / DI 방향성 period=32, threshold=30 |
5.0% | -20.1% | 0.39 | 0.25 | 1.3x | 4 | 5% |
| Parabolic SAR step=0.015, maxStep=0.26 |
6.1% | -55.6% | 0.36 | 0.11 | 1.4x | 104 | 48% |
| MACD fast=17, slow=24, signal=8 |
6.0% | -67.0% | 0.35 | 0.09 | 1.4x | 96 | 49% |
| 볼린저 밴드 돌파 n=22, k=2.2 |
5.1% | -38.4% | 0.32 | 0.13 | 1.3x | 36 | 22% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=28, mult=3.4 |
4.5% | -43.3% | 0.30 | 0.10 | 1.3x | 16 | 23% |
| Buy and hold | 8.5% | -88.9% | 0.44 | 0.10 | 1.6x | 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 72-day average price crosses above the 154-day average
- Sell — Sell (to cash) when the 72-day average falls below the 154-day average