Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Clean Science & Technology Ltd. backtest
10 trend-following strategies were compared on the full daily history of Clean Science & Technology Ltd.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.4%, MDD -8.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.5%, drawdown -75.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.1%, MDD -22.0%, Sharpe 0.41, 6% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 16.6%p higher than buy and hold, while drawdown improves by 53.4%p (CAGR 1.4%, MDD -8.0%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=14, threshold=0.13 |
4.1% | -22.0% | 0.41 | 0.18 | 1.2x | 30 | 6% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=24, mult=3 |
1.8% | -8.6% | 0.29 | 0.22 | 1.1x | 4 | 3% |
| 볼린저 밴드 돌파 n=19, k=3.3 |
1.4% | -8.0% | 0.23 | 0.18 | 1.1x | 6 | 6% |
| Supertrend period=21, mult=2.2 |
-0.3% | -47.4% | 0.10 | -0.01 | 1.0x | 42 | 41% |
| Donchian 채널 돌파 entryN=16, exitN=35 |
-0.6% | -40.1% | 0.09 | -0.02 | 1.0x | 20 | 47% |
| MACD fast=13, slow=25, signal=7 |
-3.4% | -50.4% | -0.03 | -0.07 | 0.8x | 94 | 50% |
| ADX / DI 방향성 period=8, threshold=36 |
-1.8% | -35.7% | -0.05 | -0.05 | 0.9x | 54 | 18% |
| SMA 크로스오버 fast=10, slow=50 |
-3.4% | -39.0% | -0.05 | -0.09 | 0.8x | 25 | 39% |
| EMA 크로스오버 fast=5, slow=35 |
-3.7% | -50.4% | -0.06 | -0.07 | 0.8x | 46 | 39% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-5.2% | -44.8% | -0.12 | -0.12 | 0.8x | 90 | 46% |
| Buy and hold | -12.5% | -75.3% | -0.25 | -0.17 | 0.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 14-day return is greater than 13%
- Sell — Sell when the 14-day return drops to 13% or below