Trend-Following Backtester · Guide · backtest 한국어
equity · US
Clover Health Investments, Corp. backtest
10 trend-following strategies were compared on the full daily history of Clover Health Investments, Corp.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 30.8%, MDD -57.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.6%, drawdown -97.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 34.2%, MDD -65.8%, Sharpe 0.77, 23% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 47.8%p higher than buy and hold, while drawdown improves by 31.4%p (CAGR 30.8%, MDD -57.5%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=17, k=2.3 |
34.2% | -65.8% | 0.77 | 0.52 | 6.1x | 42 | 23% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=26, mult=3.1 |
30.8% | -57.5% | 0.72 | 0.54 | 5.2x | 18 | 20% |
| Supertrend period=12, mult=2.5 |
26.3% | -72.6% | 0.65 | 0.36 | 4.2x | 46 | 39% |
| Donchian 채널 돌파 entryN=17, exitN=12 |
23.6% | -74.0% | 0.61 | 0.32 | 3.7x | 38 | 35% |
| ADX / DI 방향성 period=16, threshold=17 |
23.3% | -76.6% | 0.61 | 0.30 | 3.6x | 60 | 41% |
| Parabolic SAR step=0.035, maxStep=0.18 |
19.9% | -80.3% | 0.57 | 0.25 | 3.0x | 162 | 43% |
| EMA 크로스오버 fast=6, slow=94 |
17.3% | -67.9% | 0.53 | 0.26 | 2.7x | 19 | 28% |
| MACD fast=15, slow=41, signal=11 |
13.5% | -80.4% | 0.50 | 0.17 | 2.2x | 74 | 52% |
| ROC 모멘텀 n=17, threshold=0.02 |
14.0% | -81.3% | 0.49 | 0.17 | 2.2x | 126 | 37% |
| SMA 크로스오버 fast=19, slow=197 |
11.1% | -60.4% | 0.46 | 0.18 | 1.9x | 7 | 24% |
| Buy and hold | -13.6% | -97.2% | 0.22 | -0.14 | 0.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 17-day average (2.3× volatility)
- Sell — Sell when the close falls back to the 17-day middle average