Trend-Following Backtester · Guide · backtest 한국어
etf · US
Cornerstone Total Return Fund, Inc. (The) backtest
10 trend-following strategies were compared on the full daily history of Cornerstone Total Return Fund, Inc. (The). 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR -0.2%, MDD -14.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -7.0%, drawdown -96.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.8%, MDD -15.7%, Sharpe 0.18, 6% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 80.6%p (CAGR -0.2%, MDD -14.7%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=34, threshold=25 |
0.8% | -15.7% | 0.18 | 0.05 | 1.3x | 28 | 6% |
| ROC 모멘텀 n=27, threshold=0.14 |
-0.4% | -25.8% | -0.04 | -0.02 | 0.9x | 92 | 2% |
| EMA 크로스오버 fast=33, slow=70 |
-1.9% | -70.8% | -0.05 | -0.03 | 0.5x | 82 | 49% |
| SMA 크로스오버 fast=21, slow=127 |
-2.0% | -73.8% | -0.05 | -0.03 | 0.5x | 78 | 48% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=6, mult=4 |
-1.4% | -58.0% | -0.11 | -0.02 | 0.6x | 80 | 17% |
| Donchian 채널 돌파 entryN=51, exitN=70 |
-3.6% | -77.2% | -0.16 | -0.05 | 0.2x | 86 | 52% |
| 볼린저 밴드 돌파 n=15, k=3.2 |
-0.2% | -14.7% | -0.17 | -0.01 | 0.9x | 14 | 1% |
| Parabolic SAR step=0.01, maxStep=0.44 |
-4.1% | -82.3% | -0.20 | -0.05 | 0.2x | 414 | 52% |
| Supertrend period=11, mult=4.9 |
-4.0% | -85.1% | -0.24 | -0.05 | 0.2x | 122 | 45% |
| MACD fast=29, slow=33, signal=17 |
-10.1% | -98.6% | -0.54 | -0.10 | 0.0x | 458 | 51% |
| Buy and hold | -7.0% | -96.2% | -0.14 | -0.07 | 0.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 34-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)