Trend-Following Backtester · Guide · backtest 한국어
equity · US
Comstock Inc. backtest
10 trend-following strategies were compared on the full daily history of Comstock Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.8%, MDD -72.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -26.6%, drawdown -99.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.9%, MDD -94.1%, Sharpe 0.43, 41% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 36.4%p higher than buy and hold, while drawdown improves by 5.8%p (CAGR 3.8%, MDD -72.9%, exposure 12%).
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=18, slow=27 |
9.9% | -94.1% | 0.43 | 0.10 | 4.5x | 156 | 41% |
| ADX / DI 방향성 period=16, threshold=24 |
2.7% | -95.3% | 0.31 | 0.03 | 1.5x | 108 | 24% |
| 볼린저 밴드 돌파 n=37, k=3.1 |
3.8% | -72.9% | 0.29 | 0.05 | 1.8x | 34 | 12% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-1.6% | -96.3% | 0.29 | -0.02 | 0.8x | 158 | 40% |
| MACD fast=19, slow=44, signal=17 |
-5.3% | -92.9% | 0.27 | -0.06 | 0.4x | 154 | 51% |
| ROC 모멘텀 n=139, threshold=0.08 |
-0.7% | -81.9% | 0.26 | -0.01 | 0.9x | 102 | 25% |
| EMA 크로스오버 fast=10, slow=132 |
-1.2% | -82.6% | 0.25 | -0.01 | 0.8x | 42 | 26% |
| Supertrend period=16, mult=2.6 |
-1.6% | -97.2% | 0.25 | -0.02 | 0.8x | 90 | 36% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=27, mult=2.2 |
-0.5% | -80.9% | 0.24 | -0.01 | 0.9x | 48 | 18% |
| Donchian 채널 돌파 entryN=112, exitN=66 |
-2.0% | -89.8% | 0.23 | -0.02 | 0.7x | 12 | 18% |
| Buy and hold | -26.6% | -99.9% | 0.15 | -0.27 | 0.0x | 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 18-day average price crosses above the 27-day average
- Sell — Sell (to cash) when the 18-day average falls below the 27-day average