Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cable One, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cable One, Inc.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.2%, MDD -15.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -18.7%, drawdown -98.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.7%, MDD -35.7%, Sharpe 0.69, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 30.5%p higher than buy and hold, while drawdown improves by 62.8%p (CAGR 6.2%, MDD -15.1%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=56, slow=196 |
11.7% | -35.7% | 0.69 | 0.33 | 3.4x | 6 | 46% |
| ADX / DI 방향성 period=42, threshold=17 |
6.2% | -15.1% | 0.68 | 0.41 | 2.0x | 22 | 20% |
| SMA 크로스오버 fast=53, slow=248 |
10.4% | -35.7% | 0.64 | 0.29 | 3.0x | 6 | 41% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=17, mult=3.5 |
5.2% | -30.7% | 0.52 | 0.17 | 1.8x | 16 | 26% |
| ROC 모멘텀 n=141, threshold=-0.06 |
5.6% | -56.6% | 0.37 | 0.10 | 1.8x | 54 | 53% |
| Donchian 채널 돌파 entryN=101, exitN=26 |
3.3% | -31.9% | 0.31 | 0.10 | 1.4x | 20 | 33% |
| 볼린저 밴드 돌파 n=56, k=2.9 |
1.5% | -21.8% | 0.22 | 0.07 | 1.2x | 10 | 13% |
| Supertrend period=22, mult=4.4 |
1.5% | -75.3% | 0.18 | 0.02 | 1.2x | 28 | 51% |
| MACD fast=17, slow=28, signal=13 |
-17.0% | -92.9% | -0.38 | -0.18 | 0.1x | 159 | 53% |
| Parabolic SAR step=0.045, maxStep=0.16 |
-17.0% | -93.0% | -0.58 | -0.18 | 0.1x | 359 | 53% |
| Buy and hold | -18.7% | -98.5% | -0.25 | -0.19 | 0.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 56-day EMA crosses above the 196-day EMA
- Sell — Sell when the 56-day EMA falls below the 196-day EMA