Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cerence Inc. backtest
10 trend-following strategies were compared on the full daily history of Cerence Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 28.1%, MDD -60.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.8%, drawdown -98.2%).
Sharpe leader (same as main): Supertrend — CAGR 45.4%, MDD -61.9%, Sharpe 0.75, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 60.3%p higher than buy and hold, while drawdown improves by 36.3%p (CAGR 28.1%, MDD -60.6%, exposure 29%).
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=17, mult=4.2 |
45.4% | -61.9% | 0.75 | 0.73 | 13.1x | 22 | 52% |
| SMA 크로스오버 fast=33, slow=38 |
45.3% | -71.5% | 0.74 | 0.63 | 13.0x | 72 | 46% |
| Donchian 채널 돌파 entryN=45, exitN=30 |
35.1% | -62.5% | 0.66 | 0.56 | 7.9x | 18 | 45% |
| 볼린저 밴드 돌파 n=52, k=2.5 |
28.1% | -60.6% | 0.60 | 0.46 | 5.5x | 20 | 29% |
| MACD fast=13, slow=84, signal=19 |
25.7% | -72.2% | 0.58 | 0.36 | 4.8x | 56 | 50% |
| ROC 모멘텀 n=120, threshold=0.11 |
18.8% | -70.3% | 0.50 | 0.27 | 3.3x | 52 | 38% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=11, mult=2.1 |
17.9% | -70.0% | 0.48 | 0.26 | 3.1x | 28 | 33% |
| ADX / DI 방향성 period=22, threshold=11 |
8.9% | -84.7% | 0.41 | 0.11 | 1.8x | 94 | 46% |
| EMA 크로스오버 fast=44, slow=148 |
8.0% | -73.9% | 0.39 | 0.11 | 1.7x | 10 | 48% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-2.2% | -82.2% | 0.25 | -0.03 | 0.9x | 92 | 47% |
| Buy and hold | -14.8% | -98.2% | 0.28 | -0.15 | 0.3x | 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) — 17-day volatility, 4.2× band
- Sell — Sell when price drops below the trend line (flips down)