Trend-Following Backtester · Guide · backtest 한국어
equity · US
Century Communities, Inc. backtest
10 trend-following strategies were compared on the full daily history of Century Communities, Inc.. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 16.9%, MDD -39.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.9%, drawdown -73.3%).
Sharpe leader (same as main): Supertrend — CAGR 16.9%, MDD -39.9%, Sharpe 0.67, 58% exposure.
Return/drawdown alternative: Supertrend — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 33.4%p (CAGR 16.9%, MDD -39.9%, exposure 58%).
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=22, mult=4.5 |
16.9% | -39.9% | 0.67 | 0.42 | 6.6x | 33 | 58% |
| Donchian 채널 돌파 entryN=24, exitN=93 |
16.7% | -45.9% | 0.61 | 0.36 | 6.5x | 19 | 79% |
| EMA 크로스오버 fast=11, slow=39 |
10.6% | -43.2% | 0.48 | 0.24 | 3.4x | 63 | 57% |
| 볼린저 밴드 돌파 n=50, k=1.5 |
8.3% | -33.9% | 0.43 | 0.24 | 2.6x | 65 | 42% |
| SMA 크로스오버 fast=10, slow=41 |
7.7% | -46.3% | 0.40 | 0.17 | 2.5x | 75 | 56% |
| ADX / DI 방향성 period=17, threshold=21 |
4.9% | -40.2% | 0.34 | 0.12 | 1.8x | 91 | 25% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=19, mult=2.6 |
4.7% | -44.1% | 0.31 | 0.11 | 1.7x | 49 | 36% |
| Parabolic SAR step=0.01, maxStep=0.12 |
4.6% | -66.6% | 0.30 | 0.07 | 1.7x | 159 | 56% |
| ROC 모멘텀 n=148, threshold=-0.01 |
3.4% | -52.4% | 0.26 | 0.07 | 1.5x | 85 | 62% |
| MACD fast=24, slow=51, signal=24 |
2.1% | -52.0% | 0.22 | 0.04 | 1.3x | 111 | 51% |
| Buy and hold | 9.9% | -73.3% | 0.44 | 0.14 | 3.1x | 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) — 22-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)