Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Cupid Limited backtest
10 trend-following strategies were compared on the full daily history of Cupid Limited. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 58.6%, MDD -48.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 57.6%, drawdown -69.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 52.4%, MDD -39.7%, Sharpe 1.59, 23% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 58.6%, MDD -48.2%, exposure 48%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.3%p lower than buy and hold, while drawdown improves by 30.1%p (CAGR 58.6%, MDD -48.2%, exposure 48%).
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=59, threshold=0.26 |
52.4% | -39.7% | 1.59 | 1.32 | 63.9x | 37 | 23% |
| Donchian 채널 돌파 entryN=72, exitN=5 |
45.0% | -37.6% | 1.57 | 1.20 | 39.1x | 37 | 19% |
| ADX / DI 방향성 period=37, threshold=37 |
29.4% | -31.5% | 1.48 | 0.93 | 12.7x | 8 | 9% |
| EMA 크로스오버 fast=20, slow=66 |
58.6% | -48.2% | 1.45 | 1.22 | 94.9x | 27 | 48% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=16, mult=3.4 |
41.8% | -40.3% | 1.44 | 1.04 | 31.4x | 19 | 19% |
| 볼린저 밴드 돌파 n=50, k=2 |
49.9% | -59.3% | 1.42 | 0.84 | 54.5x | 37 | 35% |
| SMA 크로스오버 fast=9, slow=83 |
55.5% | -55.8% | 1.39 | 0.99 | 78.2x | 37 | 48% |
| Supertrend period=18, mult=5 |
47.5% | -52.7% | 1.26 | 0.90 | 46.2x | 25 | 50% |
| Parabolic SAR step=0.01, maxStep=0.24 |
37.9% | -48.1% | 1.08 | 0.79 | 23.8x | 111 | 51% |
| MACD fast=6, slow=30, signal=4 |
29.7% | -57.7% | 0.89 | 0.51 | 13.0x | 311 | 49% |
| Buy and hold | 57.6% | -69.9% | 1.18 | 0.82 | 89.3x | 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 59-day return is greater than 26%
- Sell — Sell when the 59-day return drops to 26% or below