Trend-Following Backtester · Guide · backtest 한국어
equity · US
ChronoScale Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of ChronoScale Holdings Corporation. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.0%, MDD -50.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -34.6%, drawdown -100.0%).
Sharpe leader (same as main): MACD — CAGR -6.7%, MDD -88.8%, Sharpe 0.28, 52% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 3.0%, MDD -50.9%, exposure 4%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 27.9%p higher than buy and hold, while drawdown improves by 11.2%p (CAGR 3.0%, MDD -50.9%, 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 |
|---|---|---|---|---|---|---|---|
| MACD fast=24, slow=58, signal=11 |
-6.7% | -88.8% | 0.28 | -0.08 | 0.4x | 132 | 52% |
| SMA 크로스오버 fast=13, slow=273 |
1.9% | -67.6% | 0.27 | 0.03 | 1.3x | 15 | 19% |
| ADX / DI 방향성 period=11, threshold=21 |
-6.4% | -94.3% | 0.26 | -0.07 | 0.4x | 178 | 36% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=19, mult=2.8 |
3.0% | -50.9% | 0.24 | 0.06 | 1.4x | 22 | 4% |
| Donchian 채널 돌파 entryN=39, exitN=60 |
-9.9% | -96.1% | 0.22 | -0.10 | 0.3x | 25 | 49% |
| 볼린저 밴드 돌파 n=56, k=1.2 |
-4.7% | -89.9% | 0.21 | -0.05 | 0.5x | 52 | 25% |
| ROC 모멘텀 n=143, threshold=0.1 |
-4.8% | -90.3% | 0.17 | -0.05 | 0.5x | 77 | 23% |
| EMA 크로스오버 fast=17, slow=195 |
-3.3% | -74.6% | 0.16 | -0.04 | 0.7x | 15 | 17% |
| Supertrend period=11, mult=4.6 |
-15.7% | -99.2% | 0.14 | -0.16 | 0.1x | 43 | 41% |
| Parabolic SAR step=0.04, maxStep=0.22 |
-28.2% | -99.5% | -0.09 | -0.28 | 0.0x | 366 | 42% |
| Buy and hold | -34.6% | -100.0% | 0.10 | -0.35 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (24/58) crosses above its 11-day signal line
- Sell — Sell when the MACD line crosses back below the signal line