Trend-Following Backtester · Guide · backtest 한국어
equity · US
Corsair Gaming, Inc. backtest
10 trend-following strategies were compared on the full daily history of Corsair Gaming, Inc.. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.4%, MDD -30.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.7%, drawdown -91.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.5%, MDD -42.8%, Sharpe 0.48, 22% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.2%p higher than buy and hold, while drawdown improves by 48.2%p (CAGR 9.4%, MDD -30.9%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=82, threshold=0.08 |
11.5% | -42.8% | 0.48 | 0.27 | 1.9x | 27 | 22% |
| Supertrend period=10, mult=4.5 |
11.1% | -71.8% | 0.45 | 0.15 | 1.9x | 17 | 39% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=15, mult=4 |
9.4% | -30.9% | 0.45 | 0.30 | 1.7x | 3 | 8% |
| EMA 크로스오버 fast=18, slow=21 |
8.7% | -71.4% | 0.40 | 0.12 | 1.6x | 37 | 39% |
| 볼린저 밴드 돌파 n=59, k=3.1 |
7.9% | -34.9% | 0.40 | 0.23 | 1.6x | 3 | 8% |
| Donchian 채널 돌파 entryN=79, exitN=38 |
8.2% | -40.4% | 0.39 | 0.20 | 1.6x | 5 | 22% |
| SMA 크로스오버 fast=34, slow=122 |
8.2% | -55.3% | 0.39 | 0.15 | 1.6x | 11 | 27% |
| ADX / DI 방향성 period=9, threshold=32 |
5.0% | -55.9% | 0.31 | 0.09 | 1.3x | 46 | 13% |
| MACD fast=15, slow=16, signal=14 |
-3.3% | -70.1% | 0.14 | -0.05 | 0.8x | 94 | 48% |
| Parabolic SAR step=0.02, maxStep=0.08 |
-6.4% | -83.4% | 0.06 | -0.08 | 0.7x | 100 | 44% |
| Buy and hold | -2.7% | -91.1% | 0.26 | -0.03 | 0.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 82-day return is greater than 8%
- Sell — Sell when the 82-day return drops to 8% or below