Trend-Following Backtester · Guide · backtest 한국어
equity · US
Celsius Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Celsius Holdings, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 38.4%, MDD -49.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.4%, drawdown -99.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 38.4%, MDD -49.8%, Sharpe 0.82, 35% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 33.9%p higher than buy and hold, while drawdown improves by 50.0%p (CAGR 38.4%, MDD -49.8%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=81, exitN=33 |
38.4% | -49.8% | 0.82 | 0.77 | 584.0x | 32 | 35% |
| SMA 크로스오버 fast=9, slow=140 |
35.4% | -73.1% | 0.77 | 0.48 | 379.2x | 50 | 48% |
| EMA 크로스오버 fast=49, slow=70 |
30.8% | -69.9% | 0.72 | 0.44 | 192.3x | 40 | 48% |
| ADX / DI 방향성 period=37, threshold=22 |
22.2% | -52.8% | 0.71 | 0.42 | 50.8x | 24 | 11% |
| Parabolic SAR step=0.01, maxStep=0.08 |
28.2% | -87.2% | 0.70 | 0.32 | 130.6x | 207 | 47% |
| 볼린저 밴드 돌파 n=81, k=2.6 |
25.6% | -74.9% | 0.68 | 0.34 | 86.8x | 36 | 28% |
| Supertrend period=29, mult=4.3 |
19.3% | -95.4% | 0.61 | 0.20 | 31.6x | 53 | 45% |
| ROC 모멘텀 n=139, threshold=-0.03 |
14.7% | -97.6% | 0.56 | 0.15 | 14.7x | 118 | 56% |
| MACD fast=43, slow=84, signal=27 |
6.9% | -98.6% | 0.53 | 0.07 | 3.7x | 101 | 56% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=16, mult=2.6 |
12.7% | -78.8% | 0.48 | 0.16 | 10.4x | 67 | 22% |
| Buy and hold | 4.4% | -99.8% | 0.63 | 0.04 | 2.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 81 days
- Sell — Sell when price breaks below the lowest low of the last 33 days