Trend-Following Backtester · Guide · backtest 한국어
equity · US
CRA International,Inc. backtest
10 trend-following strategies were compared on the full daily history of CRA International,Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.6%, MDD -56.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.5%, drawdown -76.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.6%, MDD -56.7%, Sharpe 0.33, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 19.7%p (CAGR 5.6%, MDD -56.7%, 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=26, slow=86 |
5.6% | -56.7% | 0.33 | 0.10 | 4.7x | 91 | 56% |
| Donchian 채널 돌파 entryN=71, exitN=108 |
5.3% | -75.9% | 0.32 | 0.07 | 4.3x | 33 | 64% |
| EMA 크로스오버 fast=40, slow=54 |
5.1% | -75.3% | 0.32 | 0.07 | 4.1x | 87 | 56% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=8, mult=4 |
2.2% | -19.1% | 0.29 | 0.12 | 1.9x | 16 | 5% |
| ADX / DI 방향성 period=26, threshold=26 |
2.5% | -41.0% | 0.24 | 0.06 | 2.0x | 58 | 12% |
| 볼린저 밴드 돌파 n=34, k=3.5 |
2.1% | -27.9% | 0.24 | 0.07 | 1.8x | 29 | 7% |
| ROC 모멘텀 n=89, threshold=-0.01 |
0.6% | -83.8% | 0.17 | 0.01 | 1.2x | 313 | 57% |
| MACD fast=29, slow=91, signal=20 |
-0.2% | -85.8% | 0.15 | -0.00 | 1.0x | 217 | 52% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-0.8% | -82.0% | 0.13 | -0.01 | 0.8x | 213 | 53% |
| Supertrend period=14, mult=3.4 |
-2.5% | -88.1% | 0.07 | -0.03 | 0.5x | 145 | 55% |
| Buy and hold | 7.5% | -76.4% | 0.39 | 0.10 | 7.7x | 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 26-day average price crosses above the 86-day average
- Sell — Sell (to cash) when the 26-day average falls below the 86-day average