Trend-Following Backtester · Guide · backtest 한국어
equity · DK
cBrain A/S backtest
10 trend-following strategies were compared on the full daily history of cBrain A/S. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 17.4%, MDD -44.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 10.5%, drawdown -90.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.8%, MDD -55.7%, Sharpe 0.74, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 14.3%p higher than buy and hold, while drawdown improves by 34.3%p (CAGR 17.4%, MDD -44.5%, exposure 23%).
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=43, slow=174 |
24.8% | -55.7% | 0.74 | 0.45 | 92.3x | 28 | 48% |
| EMA 크로스오버 fast=47, slow=175 |
23.4% | -53.9% | 0.71 | 0.43 | 73.0x | 24 | 47% |
| Donchian 채널 돌파 entryN=77, exitN=65 |
21.7% | -53.9% | 0.68 | 0.40 | 54.9x | 24 | 48% |
| 볼린저 밴드 돌파 n=39, k=2.4 |
17.4% | -44.5% | 0.67 | 0.39 | 26.7x | 62 | 23% |
| ROC 모멘텀 n=187, threshold=0.11 |
17.2% | -68.1% | 0.60 | 0.25 | 25.6x | 88 | 39% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=26, mult=3.5 |
13.1% | -45.6% | 0.58 | 0.29 | 12.5x | 44 | 16% |
| ADX / DI 방향성 period=16, threshold=24 |
11.3% | -55.0% | 0.51 | 0.21 | 9.0x | 116 | 18% |
| Supertrend period=25, mult=4.3 |
9.1% | -79.8% | 0.42 | 0.11 | 5.9x | 78 | 42% |
| Parabolic SAR step=0.015, maxStep=0.24 |
6.5% | -85.5% | 0.35 | 0.08 | 3.6x | 288 | 46% |
| MACD fast=22, slow=50, signal=24 |
-2.2% | -90.7% | 0.15 | -0.02 | 0.6x | 193 | 51% |
| Buy and hold | 10.5% | -90.1% | 0.46 | 0.12 | 7.6x | 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 43-day average price crosses above the 174-day average
- Sell — Sell (to cash) when the 43-day average falls below the 174-day average