Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cimpress plc backtest
10 trend-following strategies were compared on the full daily history of Cimpress plc. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.9%, MDD -45.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 8.8%, drawdown -88.7%).
Sharpe leader (same as main): Supertrend — CAGR 18.2%, MDD -56.6%, Sharpe 0.65, 62% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 9.4%p higher than buy and hold, while drawdown improves by 32.1%p (CAGR 10.9%, MDD -45.7%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=6, mult=5 |
18.2% | -56.6% | 0.65 | 0.32 | 32.8x | 47 | 62% |
| SMA 크로스오버 fast=37, slow=121 |
13.7% | -53.3% | 0.56 | 0.26 | 14.8x | 41 | 55% |
| EMA 크로스오버 fast=21, slow=67 |
13.9% | -46.9% | 0.56 | 0.30 | 15.2x | 66 | 57% |
| Donchian 채널 돌파 entryN=101, exitN=48 |
10.9% | -45.7% | 0.51 | 0.24 | 8.7x | 29 | 43% |
| ROC 모멘텀 n=101, threshold=0.01 |
10.2% | -53.3% | 0.47 | 0.19 | 7.6x | 143 | 53% |
| ADX / DI 방향성 period=19, threshold=32 |
4.6% | -22.3% | 0.45 | 0.21 | 2.6x | 32 | 8% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=15, mult=4 |
5.8% | -41.0% | 0.38 | 0.14 | 3.2x | 38 | 23% |
| 볼린저 밴드 돌파 n=57, k=2.4 |
5.5% | -62.6% | 0.34 | 0.09 | 3.0x | 70 | 34% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-0.2% | -83.4% | 0.17 | -0.00 | 1.0x | 270 | 52% |
| MACD fast=14, slow=22, signal=10 |
-2.3% | -80.0% | 0.12 | -0.03 | 0.6x | 368 | 52% |
| Buy and hold | 8.8% | -88.7% | 0.42 | 0.10 | 5.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 6-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)