Trend-Following Backtester · Guide · backtest 한국어
equity · US
CCC Intelligent Solutions Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of CCC Intelligent Solutions Holdings Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 0.6%, MDD -12.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.5%, drawdown -71.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.9%, MDD -18.6%, Sharpe 0.74, 19% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 11.0%, MDD -25.6%, exposure 24%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 18.4%p higher than buy and hold, while drawdown improves by 52.7%p (CAGR 0.6%, MDD -12.2%, exposure 4%).
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=21, k=2.2 |
10.9% | -18.6% | 0.74 | 0.58 | 1.8x | 25 | 19% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=12, mult=1.3 |
11.0% | -25.6% | 0.67 | 0.43 | 1.9x | 33 | 24% |
| MACD fast=16, slow=30, signal=19 |
1.5% | -40.7% | 0.19 | 0.04 | 1.1x | 61 | 52% |
| Donchian 채널 돌파 entryN=151, exitN=6 |
0.6% | -12.2% | 0.14 | 0.05 | 1.0x | 8 | 4% |
| ROC 모멘텀 n=12, threshold=0.06 |
-1.0% | -40.7% | 0.03 | -0.02 | 0.9x | 101 | 18% |
| ADX / DI 방향성 period=28, threshold=14 |
-1.6% | -45.8% | 0.02 | -0.04 | 0.9x | 39 | 29% |
| EMA 크로스오버 fast=26, slow=159 |
-1.4% | -30.8% | -0.01 | -0.05 | 0.9x | 11 | 29% |
| Supertrend period=25, mult=4.8 |
-4.7% | -57.7% | -0.07 | -0.08 | 0.8x | 19 | 52% |
| SMA 크로스오버 fast=39, slow=213 |
-2.2% | -31.6% | -0.07 | -0.07 | 0.9x | 7 | 26% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-6.2% | -61.3% | -0.15 | -0.10 | 0.7x | 53 | 42% |
| Buy and hold | -7.5% | -71.3% | -0.02 | -0.11 | 0.6x | 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 21-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 21-day middle average