Trend-Following Backtester · Guide · backtest 한국어
etf · US
Cornerstone Strategic Investment Fund, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cornerstone Strategic Investment Fund, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -4.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.1%, drawdown -95.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.5%, MDD -11.3%, Sharpe 0.18, 2% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 0.8%, MDD -23.8%, exposure 9%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.6%p higher than buy and hold, while drawdown improves by 84.6%p (CAGR 0.1%, MDD -4.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=25, k=3.3 |
0.5% | -11.3% | 0.18 | 0.04 | 1.1x | 8 | 2% |
| ROC 모멘텀 n=65, threshold=0.14 |
0.8% | -23.8% | 0.14 | 0.03 | 1.2x | 100 | 9% |
| ADX / DI 방향성 period=25, threshold=36 |
0.1% | -4.5% | 0.06 | 0.01 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=55, exitN=13 |
-0.3% | -67.8% | 0.03 | -0.00 | 0.9x | 78 | 29% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=20, mult=3.3 |
-0.8% | -53.8% | -0.02 | -0.01 | 0.8x | 56 | 21% |
| SMA 크로스오버 fast=65, slow=70 |
-2.2% | -74.5% | -0.04 | -0.03 | 0.6x | 189 | 49% |
| Parabolic SAR step=0.05, maxStep=0.3 |
-4.0% | -80.9% | -0.14 | -0.05 | 0.4x | 723 | 55% |
| Supertrend period=10, mult=4.4 |
-3.3% | -76.3% | -0.16 | -0.04 | 0.4x | 84 | 35% |
| MACD fast=15, slow=32, signal=19 |
-5.4% | -82.4% | -0.22 | -0.07 | 0.3x | 302 | 54% |
| EMA 크로스오버 fast=31, slow=64 |
-4.8% | -82.0% | -0.22 | -0.06 | 0.3x | 70 | 45% |
| Buy and hold | -10.1% | -95.9% | -0.21 | -0.11 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 25-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 25-day middle average