Trend-Following Backtester · Guide · backtest 한국어
equity · US
CorVel Corp. backtest
10 trend-following strategies were compared on the full daily history of CorVel Corp.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.6%, MDD -52.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.9%, drawdown -67.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.4%, MDD -56.9%, Sharpe 0.58, 78% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 10.2%p (CAGR 13.6%, MDD -52.6%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=19, exitN=55 |
15.4% | -56.9% | 0.58 | 0.27 | 151.5x | 83 | 78% |
| SMA 크로스오버 fast=39, slow=71 |
13.6% | -52.6% | 0.57 | 0.26 | 86.5x | 123 | 60% |
| EMA 크로스오버 fast=45, slow=46 |
11.2% | -55.0% | 0.50 | 0.20 | 41.5x | 107 | 61% |
| Supertrend period=9, mult=5 |
7.7% | -84.0% | 0.40 | 0.09 | 13.5x | 95 | 59% |
| ROC 모멘텀 n=65, threshold=-0.04 |
7.3% | -69.6% | 0.38 | 0.11 | 12.0x | 409 | 69% |
| ADX / DI 방향성 period=34, threshold=24 |
3.8% | -40.8% | 0.31 | 0.09 | 3.7x | 42 | 13% |
| 볼린저 밴드 돌파 n=49, k=3.2 |
2.4% | -61.3% | 0.23 | 0.04 | 2.3x | 52 | 15% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=20, mult=3 |
1.7% | -74.8% | 0.18 | 0.02 | 1.8x | 112 | 27% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-2.3% | -95.9% | 0.07 | -0.02 | 0.4x | 620 | 54% |
| MACD fast=15, slow=24, signal=24 |
-5.3% | -91.9% | -0.04 | -0.06 | 0.1x | 488 | 51% |
| Buy and hold | 15.9% | -67.1% | 0.56 | 0.24 | 176.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 19 days
- Sell — Sell when price breaks below the lowest low of the last 55 days