Trend-Following Backtester · Guide · backtest 한국어
equity · US
CuriosityStream Inc. backtest
10 trend-following strategies were compared on the full daily history of CuriosityStream Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 24.8%, MDD -47.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -19.4%, drawdown -98.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 24.8%, MDD -47.8%, Sharpe 0.68, 33% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 44.2%p higher than buy and hold, while drawdown improves by 50.3%p (CAGR 24.8%, MDD -47.8%, exposure 33%).
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=139, threshold=0.15 |
24.8% | -47.8% | 0.68 | 0.52 | 4.3x | 10 | 33% |
| 볼린저 밴드 돌파 n=34, k=2.5 |
21.7% | -57.6% | 0.62 | 0.38 | 3.6x | 22 | 18% |
| SMA 크로스오버 fast=57, slow=207 |
19.8% | -63.4% | 0.60 | 0.31 | 3.3x | 8 | 34% |
| Supertrend period=25, mult=4.7 |
15.1% | -71.0% | 0.52 | 0.21 | 2.5x | 18 | 33% |
| EMA 크로스오버 fast=45, slow=120 |
12.9% | -62.3% | 0.49 | 0.21 | 2.2x | 6 | 37% |
| Donchian 채널 돌파 entryN=118, exitN=38 |
9.3% | -53.8% | 0.42 | 0.17 | 1.8x | 10 | 21% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=20, mult=2 |
7.8% | -61.5% | 0.38 | 0.13 | 1.6x | 30 | 19% |
| ADX / DI 방향성 period=12, threshold=26 |
6.6% | -66.9% | 0.36 | 0.10 | 1.5x | 52 | 23% |
| Parabolic SAR step=0.02, maxStep=0.34 |
4.1% | -80.7% | 0.34 | 0.05 | 1.3x | 122 | 43% |
| MACD fast=11, slow=50, signal=14 |
-5.1% | -88.9% | 0.21 | -0.06 | 0.7x | 80 | 49% |
| Buy and hold | -19.4% | -98.0% | 0.12 | -0.20 | 0.2x | 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 139-day return is greater than 15%
- Sell — Sell when the 139-day return drops to 15% or below