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.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.0%, MDD -54.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 8.2%, drawdown -89.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.0%, MDD -54.3%, Sharpe 0.47, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 34.9%p (CAGR 11.0%, MDD -54.3%, 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=51, slow=190 |
11.0% | -54.3% | 0.47 | 0.20 | 25.9x | 39 | 56% |
| Supertrend period=15, mult=3.8 |
10.3% | -65.5% | 0.45 | 0.16 | 21.3x | 109 | 56% |
| EMA 크로스오버 fast=65, slow=197 |
10.2% | -60.3% | 0.45 | 0.17 | 20.8x | 35 | 58% |
| Donchian 채널 돌파 entryN=52, exitN=31 |
8.5% | -68.6% | 0.41 | 0.12 | 12.6x | 75 | 47% |
| 볼린저 밴드 돌파 n=71, k=2.9 |
6.8% | -49.3% | 0.40 | 0.14 | 7.7x | 50 | 22% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=55, mult=3.6 |
6.3% | -65.4% | 0.37 | 0.10 | 6.7x | 63 | 23% |
| MACD fast=14, slow=45, signal=31 |
6.4% | -80.9% | 0.35 | 0.08 | 7.0x | 297 | 52% |
| ADX / DI 방향성 period=37, threshold=19 |
5.3% | -43.7% | 0.34 | 0.12 | 5.1x | 66 | 18% |
| ROC 모멘텀 n=140, threshold=-0.04 |
4.2% | -76.9% | 0.29 | 0.05 | 3.6x | 253 | 63% |
| Parabolic SAR step=0.005, maxStep=0.2 |
3.5% | -84.6% | 0.27 | 0.04 | 2.9x | 217 | 53% |
| Buy and hold | 8.2% | -89.1% | 0.40 | 0.09 | 11.6x | 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 51-day average price crosses above the 190-day average
- Sell — Sell (to cash) when the 51-day average falls below the 190-day average