Trend-Following Backtester · Guide · backtest 한국어
equity · US
Consolidated Water Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Consolidated Water Co. Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.4%, drawdown -81.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.6%, MDD -67.2%, Sharpe 0.33, 57% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=52, slow=181 |
5.6% | -67.2% | 0.33 | 0.08 | 5.5x | 52 | 57% |
| Donchian 채널 돌파 entryN=45, exitN=105 |
5.2% | -78.6% | 0.32 | 0.07 | 5.0x | 50 | 70% |
| EMA 크로스오버 fast=58, slow=160 |
3.6% | -74.6% | 0.28 | 0.05 | 3.0x | 50 | 59% |
| ADX / DI 방향성 period=29, threshold=29 |
2.4% | -48.6% | 0.23 | 0.05 | 2.1x | 32 | 9% |
| 볼린저 밴드 돌파 n=45, k=3.1 |
1.3% | -45.9% | 0.17 | 0.03 | 1.5x | 62 | 17% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=11, mult=3.9 |
1.0% | -69.3% | 0.14 | 0.01 | 1.4x | 54 | 14% |
| ROC 모멘텀 n=130, threshold=-0.11 |
-2.1% | -94.0% | 0.14 | -0.02 | 0.5x | 260 | 77% |
| Supertrend period=17, mult=5 |
-2.8% | -91.2% | 0.10 | -0.03 | 0.4x | 102 | 60% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-4.2% | -91.9% | 0.04 | -0.05 | 0.3x | 241 | 52% |
| MACD fast=16, slow=67, signal=21 |
-10.8% | -98.4% | -0.17 | -0.11 | 0.0x | 367 | 49% |
| Buy and hold | 9.4% | -81.8% | 0.43 | 0.11 | 16.9x | 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 52-day average price crosses above the 181-day average
- Sell — Sell (to cash) when the 52-day average falls below the 181-day average