Trend-Following Backtester · Guide · backtest 한국어
equity · US
Climb Global Solutions, Inc. backtest
10 trend-following strategies were compared on the full daily history of Climb Global Solutions, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.4%, MDD -58.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.6%, drawdown -89.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.4%, MDD -58.1%, Sharpe 0.46, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR 10.4%, MDD -58.1%, exposure 56%).
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=53, slow=194 |
10.4% | -58.1% | 0.46 | 0.18 | 21.3x | 38 | 56% |
| Supertrend period=15, mult=3.8 |
9.7% | -65.5% | 0.44 | 0.15 | 17.8x | 109 | 56% |
| EMA 크로스오버 fast=69, slow=190 |
9.5% | -62.7% | 0.43 | 0.15 | 16.6x | 34 | 58% |
| 볼린저 밴드 돌파 n=71, k=2.9 |
6.8% | -49.3% | 0.40 | 0.14 | 7.7x | 50 | 22% |
| Donchian 채널 돌파 entryN=73, exitN=47 |
6.9% | -60.0% | 0.37 | 0.12 | 8.0x | 53 | 47% |
| ADX / DI 방향성 period=38, threshold=19 |
5.3% | -43.4% | 0.34 | 0.12 | 5.0x | 66 | 18% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=48, mult=3.5 |
5.5% | -70.6% | 0.34 | 0.08 | 5.3x | 63 | 23% |
| MACD fast=18, slow=48, signal=24 |
5.5% | -78.2% | 0.33 | 0.07 | 5.3x | 295 | 52% |
| ROC 모멘텀 n=142, threshold=-0.02 |
3.1% | -79.7% | 0.26 | 0.04 | 2.6x | 269 | 60% |
| Parabolic SAR step=0.005, maxStep=0.12 |
3.1% | -84.6% | 0.26 | 0.04 | 2.6x | 216 | 53% |
| Buy and hold | 7.6% | -89.1% | 0.39 | 0.09 | 9.7x | 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 53-day average price crosses above the 194-day average
- Sell — Sell (to cash) when the 53-day average falls below the 194-day average