Trend-Following Backtester · Guide · backtest 한국어
equity · US
Coastal Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of Coastal Financial Corporation. 4 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 15.0%, MDD -26.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 12.3%, drawdown -66.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 15.0%, MDD -26.8%, Sharpe 0.77, 32% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 18.2%, MDD -42.5%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 39.7%p (CAGR 15.0%, MDD -26.8%, exposure 32%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=28, mult=2.9 |
15.0% | -26.8% | 0.77 | 0.56 | 3.1x | 18 | 32% |
| Donchian 채널 돌파 entryN=93, exitN=64 |
18.2% | -42.5% | 0.74 | 0.43 | 3.8x | 10 | 53% |
| ADX / DI 방향성 period=17, threshold=37 |
5.7% | -10.3% | 0.70 | 0.55 | 1.6x | 6 | 4% |
| 볼린저 밴드 돌파 n=59, k=2.7 |
11.6% | -24.4% | 0.64 | 0.48 | 2.4x | 20 | 30% |
| ROC 모멘텀 n=147, threshold=0.05 |
14.6% | -51.1% | 0.63 | 0.28 | 3.0x | 48 | 52% |
| SMA 크로스오버 fast=9, slow=159 |
14.8% | -47.3% | 0.62 | 0.31 | 3.0x | 24 | 59% |
| EMA 크로스오버 fast=12, slow=139 |
11.8% | -49.7% | 0.53 | 0.24 | 2.5x | 28 | 60% |
| Parabolic SAR step=0.005, maxStep=0.2 |
12.0% | -35.1% | 0.51 | 0.34 | 2.5x | 62 | 56% |
| Supertrend period=9, mult=3.6 |
11.7% | -39.1% | 0.51 | 0.30 | 2.4x | 34 | 60% |
| MACD fast=24, slow=72, signal=13 |
4.4% | -54.9% | 0.30 | 0.08 | 1.4x | 86 | 49% |
| Buy and hold | 12.3% | -66.5% | 0.49 | 0.18 | 2.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 66-day average + 2.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 66-day average