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 -10.8%, drawdown -71.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.2%, MDD -18.6%, Sharpe 0.55, 18% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 7.4%, MDD -25.6%, exposure 23%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 18.0%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 |
7.2% | -18.6% | 0.55 | 0.39 | 1.5x | 25 | 18% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=12, mult=1.3 |
7.4% | -25.6% | 0.50 | 0.29 | 1.5x | 33 | 23% |
| Donchian 채널 돌파 entryN=151, exitN=6 |
0.6% | -12.2% | 0.14 | 0.05 | 1.0x | 8 | 4% |
| MACD fast=16, slow=30, signal=19 |
-2.0% | -40.7% | 0.05 | -0.05 | 0.9x | 61 | 51% |
| ROC 모멘텀 n=12, threshold=0.06 |
-2.4% | -40.7% | -0.06 | -0.06 | 0.9x | 98 | 17% |
| SMA 크로스오버 fast=39, slow=213 |
-2.5% | -31.6% | -0.10 | -0.08 | 0.9x | 6 | 26% |
| EMA 크로스오버 fast=26, slow=159 |
-2.7% | -28.6% | -0.11 | -0.10 | 0.9x | 10 | 28% |
| ADX / DI 방향성 period=28, threshold=14 |
-5.0% | -45.8% | -0.17 | -0.11 | 0.7x | 39 | 28% |
| Supertrend period=25, mult=4.8 |
-8.1% | -57.7% | -0.22 | -0.14 | 0.6x | 19 | 51% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-9.5% | -61.3% | -0.31 | -0.15 | 0.6x | 53 | 41% |
| Buy and hold | -10.8% | -71.3% | -0.12 | -0.15 | 0.5x | 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