Trend-Following Backtester · Guide · backtest 한국어
equity · US
CECO Environmental Corp. backtest
10 trend-following strategies were compared on the full daily history of CECO Environmental Corp.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.4%, MDD -59.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.8%, drawdown -97.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.8%, MDD -72.4%, Sharpe 0.46, 51% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 24.7%p (CAGR 8.4%, MDD -59.0%, exposure 27%).
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=19, slow=148 |
11.8% | -72.4% | 0.46 | 0.16 | 166.3x | 108 | 51% |
| Donchian 채널 돌파 entryN=98, exitN=31 |
8.4% | -59.0% | 0.42 | 0.14 | 40.4x | 72 | 27% |
| EMA 크로스오버 fast=47, slow=48 |
8.8% | -81.7% | 0.40 | 0.11 | 48.3x | 124 | 51% |
| 볼린저 밴드 돌파 n=52, k=3.4 |
7.2% | -60.8% | 0.40 | 0.12 | 24.3x | 76 | 17% |
| Supertrend period=6, mult=5 |
6.8% | -92.6% | 0.38 | 0.07 | 20.0x | 132 | 57% |
| ADX / DI 방향성 period=35, threshold=16 |
7.0% | -89.5% | 0.37 | 0.08 | 22.7x | 150 | 41% |
| ROC 모멘텀 n=143, threshold=0.13 |
5.3% | -82.2% | 0.32 | 0.06 | 10.6x | 313 | 42% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=22, mult=2.2 |
3.1% | -92.7% | 0.26 | 0.03 | 4.1x | 170 | 31% |
| MACD fast=19, slow=29, signal=17 |
0.6% | -98.1% | 0.25 | 0.01 | 1.3x | 535 | 48% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-0.3% | -97.6% | 0.22 | -0.00 | 0.9x | 640 | 51% |
| Buy and hold | 6.8% | -97.1% | 0.44 | 0.07 | 20.8x | 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 19-day average price crosses above the 148-day average
- Sell — Sell (to cash) when the 19-day average falls below the 148-day average