Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Computer Age Management Services Ltd backtest
10 trend-following strategies were compared on the full daily history of Computer Age Management Services Ltd. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 22.0%, MDD -33.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 18.9%, drawdown -49.1%).
Sharpe leader (same as main): Supertrend — CAGR 22.0%, MDD -33.9%, Sharpe 0.86, 59% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 15.2%p (CAGR 22.0%, MDD -33.9%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=22, mult=4.9 |
22.0% | -33.9% | 0.86 | 0.65 | 3.2x | 11 | 59% |
| Donchian 채널 돌파 entryN=44, exitN=47 |
17.8% | -37.2% | 0.75 | 0.48 | 2.6x | 11 | 54% |
| ROC 모멘텀 n=121, threshold=0.13 |
14.9% | -38.2% | 0.71 | 0.39 | 2.3x | 29 | 34% |
| SMA 크로스오버 fast=52, slow=70 |
16.4% | -37.8% | 0.68 | 0.43 | 2.5x | 25 | 59% |
| 볼린저 밴드 돌파 n=16, k=3.4 |
4.8% | -6.9% | 0.66 | 0.69 | 1.3x | 2 | 3% |
| EMA 크로스오버 fast=33, slow=68 |
15.0% | -36.1% | 0.66 | 0.42 | 2.3x | 14 | 53% |
| ADX / DI 방향성 period=14, threshold=37 |
6.5% | -13.6% | 0.60 | 0.47 | 1.4x | 8 | 9% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=14, mult=2.7 |
9.9% | -29.5% | 0.54 | 0.34 | 1.7x | 20 | 36% |
| Parabolic SAR step=0.015, maxStep=0.2 |
3.7% | -51.6% | 0.27 | 0.07 | 1.2x | 104 | 53% |
| MACD fast=16, slow=54, signal=29 |
-3.6% | -52.5% | -0.05 | -0.07 | 0.8x | 62 | 50% |
| Buy and hold | 18.9% | -49.1% | 0.68 | 0.38 | 2.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 22-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)