Trend-Following Backtester · Guide · backtest 한국어
equity · US
C3.ai, Inc. backtest
10 trend-following strategies were compared on the full daily history of C3.ai, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.1%, MDD -35.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -31.3%, drawdown -95.6%).
Sharpe leader (same as main): Supertrend — CAGR 3.3%, MDD -78.0%, Sharpe 0.34, 45% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 34.6%p higher than buy and hold, while drawdown improves by 17.6%p (CAGR 3.1%, MDD -35.6%, exposure 4%).
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=6, mult=2.9 |
3.3% | -78.0% | 0.34 | 0.04 | 1.2x | 33 | 45% |
| SMA 크로스오버 fast=9, slow=58 |
1.8% | -51.6% | 0.28 | 0.04 | 1.1x | 31 | 34% |
| ADX / DI 방향성 period=11, threshold=39 |
3.1% | -35.6% | 0.24 | 0.09 | 1.2x | 10 | 4% |
| ROC 모멘텀 n=146, threshold=0.08 |
0.3% | -54.1% | 0.22 | 0.01 | 1.0x | 34 | 19% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=27, mult=4 |
-0.3% | -49.2% | 0.18 | -0.01 | 1.0x | 8 | 10% |
| MACD fast=16, slow=37, signal=14 |
-9.3% | -85.4% | 0.12 | -0.11 | 0.6x | 63 | 53% |
| 볼린저 밴드 돌파 n=51, k=2.4 |
-3.6% | -53.2% | 0.11 | -0.07 | 0.8x | 14 | 17% |
| EMA 크로스오버 fast=10, slow=29 |
-8.5% | -79.4% | 0.11 | -0.11 | 0.6x | 41 | 37% |
| Donchian 채널 돌파 entryN=85, exitN=59 |
-5.0% | -71.3% | 0.10 | -0.07 | 0.7x | 6 | 17% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-27.6% | -89.1% | -0.31 | -0.31 | 0.2x | 133 | 44% |
| Buy and hold | -31.3% | -95.6% | -0.07 | -0.33 | 0.1x | 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) — 6-day volatility, 2.9× band
- Sell — Sell when price drops below the trend line (flips down)