Trend-Following Backtester · Guide · backtest 한국어
equity · FR
2CRSI SA backtest
10 trend-following strategies were compared on the full daily history of 2CRSI SA. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 28.1%, MDD -36.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 13.2%, drawdown -92.9%).
Sharpe leader (same as main): Parabolic SAR — CAGR 73.4%, MDD -61.0%, Sharpe 1.22, 47% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 60.2%p higher than buy and hold, while drawdown improves by 31.9%p (CAGR 28.1%, MDD -36.8%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.045, maxStep=0.28 |
73.4% | -61.0% | 1.22 | 1.20 | 90.8x | 235 | 47% |
| MACD fast=6, slow=13, signal=11 |
49.5% | -57.1% | 0.93 | 0.87 | 26.9x | 201 | 48% |
| Supertrend period=5, mult=1.2 |
37.6% | -70.1% | 0.80 | 0.54 | 13.6x | 188 | 48% |
| 볼린저 밴드 돌파 n=15, k=2.9 |
28.1% | -36.8% | 0.80 | 0.76 | 7.6x | 30 | 11% |
| Donchian 채널 돌파 entryN=39, exitN=63 |
30.8% | -62.4% | 0.73 | 0.49 | 9.0x | 13 | 56% |
| EMA 크로스오버 fast=51, slow=139 |
28.4% | -62.4% | 0.73 | 0.45 | 7.7x | 13 | 45% |
| ROC 모멘텀 n=4, threshold=-0.04 |
30.7% | -73.5% | 0.70 | 0.42 | 9.0x | 349 | 75% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=25, mult=1.9 |
24.3% | -48.4% | 0.69 | 0.50 | 5.9x | 40 | 26% |
| SMA 크로스오버 fast=24, slow=180 |
26.8% | -74.3% | 0.69 | 0.36 | 7.0x | 18 | 49% |
| ADX / DI 방향성 period=14, threshold=12 |
21.8% | -51.9% | 0.61 | 0.42 | 5.0x | 162 | 45% |
| Buy and hold | 13.2% | -92.9% | 0.53 | 0.14 | 2.8x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots