Trend-Following Backtester · Guide · backtest 한국어
equity · US
CECO Environmental Corp. backtest
10 trend-following strategies were compared on the full daily history of CECO Environmental Corp.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.7%, MDD -61.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.7%, drawdown -97.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.7%, MDD -81.4%, Sharpe 0.47, 53% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 15.7%p (CAGR 7.7%, MDD -61.3%, exposure 19%).
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=67, slow=234 |
11.7% | -81.4% | 0.47 | 0.14 | 159.5x | 49 | 53% |
| Donchian 채널 돌파 entryN=93, exitN=12 |
7.7% | -61.3% | 0.42 | 0.13 | 30.0x | 100 | 19% |
| EMA 크로스오버 fast=57, slow=58 |
7.5% | -81.2% | 0.38 | 0.09 | 27.1x | 101 | 51% |
| 볼린저 밴드 돌파 n=50, k=3.4 |
6.5% | -60.8% | 0.37 | 0.11 | 17.5x | 78 | 17% |
| ADX / DI 방향성 period=34, threshold=22 |
6.6% | -89.3% | 0.35 | 0.07 | 18.8x | 74 | 33% |
| ROC 모멘텀 n=142, threshold=0.08 |
4.8% | -86.8% | 0.31 | 0.06 | 8.5x | 330 | 46% |
| Supertrend period=29, mult=5 |
4.0% | -91.9% | 0.30 | 0.04 | 5.9x | 110 | 48% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=24, mult=3.8 |
3.4% | -58.3% | 0.26 | 0.06 | 4.6x | 78 | 15% |
| MACD fast=19, slow=53, signal=16 |
-0.5% | -99.2% | 0.23 | -0.00 | 0.8x | 490 | 49% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-0.9% | -97.2% | 0.21 | -0.01 | 0.7x | 760 | 51% |
| Buy and hold | 6.7% | -97.1% | 0.44 | 0.07 | 19.7x | 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 67-day average price crosses above the 234-day average
- Sell — Sell (to cash) when the 67-day average falls below the 234-day average