Trend-Following Backtester · Guide · backtest 한국어
equity · US
Core Laboratories Inc. backtest
10 trend-following strategies were compared on the full daily history of Core Laboratories Inc.. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.1%, MDD -45.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 4.2%, drawdown -96.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.3%, MDD -79.1%, Sharpe 0.41, 61% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 17.2%p (CAGR 6.1%, MDD -45.7%, exposure 16%).
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=134, threshold=-0.02 |
8.3% | -79.1% | 0.41 | 0.10 | 11.6x | 258 | 61% |
| Supertrend period=28, mult=2 |
8.1% | -78.4% | 0.40 | 0.10 | 11.0x | 366 | 54% |
| 볼린저 밴드 돌파 n=19, k=2.6 |
6.1% | -45.7% | 0.40 | 0.13 | 6.2x | 128 | 16% |
| SMA 크로스오버 fast=35, slow=169 |
6.3% | -80.8% | 0.35 | 0.08 | 6.6x | 52 | 59% |
| Donchian 채널 돌파 entryN=16, exitN=63 |
5.8% | -88.4% | 0.34 | 0.07 | 5.7x | 94 | 78% |
| Parabolic SAR step=0.015, maxStep=0.12 |
5.1% | -85.7% | 0.32 | 0.06 | 4.7x | 524 | 53% |
| EMA 크로스오버 fast=58, slow=140 |
3.8% | -90.4% | 0.28 | 0.04 | 3.1x | 44 | 57% |
| ADX / DI 방향성 period=37, threshold=33 |
2.0% | -28.0% | 0.26 | 0.07 | 1.8x | 10 | 5% |
| MACD fast=12, slow=35, signal=13 |
2.7% | -78.1% | 0.25 | 0.04 | 2.3x | 480 | 50% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=24, mult=1.2 |
1.9% | -76.3% | 0.21 | 0.03 | 1.8x | 286 | 43% |
| Buy and hold | 4.2% | -96.3% | 0.33 | 0.04 | 3.5x | 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 134-day return is greater than -2%
- Sell — Sell when the 134-day return drops to -2% or below