Trend-Following Backtester · Guide · backtest 한국어
equity · PL
CD Projekt S.A. backtest
10 trend-following strategies were compared on the full daily history of CD Projekt S.A.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 18.8%, MDD -59.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.2%, drawdown -99.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.0%, MDD -64.9%, Sharpe 0.70, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 13.8%p higher than buy and hold, while drawdown improves by 34.7%p (CAGR 18.8%, MDD -59.8%, exposure 53%).
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=46, slow=126 |
21.0% | -64.9% | 0.70 | 0.32 | 158.9x | 48 | 55% |
| EMA 크로스오버 fast=22, slow=184 |
18.8% | -59.8% | 0.65 | 0.31 | 97.2x | 32 | 53% |
| Donchian 채널 돌파 entryN=103, exitN=45 |
7.1% | -94.5% | 0.39 | 0.07 | 6.2x | 40 | 45% |
| ROC 모멘텀 n=113, threshold=-0.02 |
7.7% | -97.2% | 0.39 | 0.08 | 7.2x | 199 | 57% |
| ADX / DI 방향성 period=18, threshold=38 |
5.7% | -45.2% | 0.37 | 0.13 | 4.3x | 48 | 6% |
| Supertrend period=16, mult=2.9 |
5.7% | -97.9% | 0.36 | 0.06 | 4.4x | 189 | 47% |
| 볼린저 밴드 돌파 n=26, k=1.1 |
4.1% | -98.3% | 0.33 | 0.04 | 2.9x | 285 | 41% |
| Parabolic SAR step=0.03, maxStep=0.16 |
3.9% | -91.7% | 0.33 | 0.04 | 2.8x | 605 | 51% |
| MACD fast=11, slow=22, signal=12 |
1.1% | -99.0% | 0.29 | 0.01 | 1.3x | 457 | 51% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=10, mult=0.9 |
-0.0% | -99.3% | 0.25 | -0.00 | 1.0x | 285 | 43% |
| Buy and hold | 7.2% | -99.6% | 0.43 | 0.07 | 6.4x | 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 46-day average price crosses above the 126-day average
- Sell — Sell (to cash) when the 46-day average falls below the 126-day average