Trend-Following Backtester · Guide · backtest 한국어
equity · US
Clarivate Plc backtest
10 trend-following strategies were compared on the full daily history of Clarivate Plc. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.2%, MDD -5.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -18.5%, drawdown -95.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.8%, MDD -9.5%, Sharpe 0.82, 5% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 23.3%p higher than buy and hold, while drawdown improves by 85.5%p (CAGR 1.2%, MDD -5.2%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=34, mult=3.4 |
4.8% | -9.5% | 0.82 | 0.50 | 1.4x | 8 | 5% |
| ADX / DI 방향성 period=25, threshold=41 |
2.7% | -9.2% | 0.64 | 0.30 | 1.2x | 4 | 4% |
| 볼린저 밴드 돌파 n=14, k=3.5 |
1.2% | -5.2% | 0.53 | 0.24 | 1.1x | 2 | 1% |
| Donchian 채널 돌파 entryN=114, exitN=72 |
3.5% | -45.3% | 0.27 | 0.08 | 1.3x | 4 | 22% |
| SMA 크로스오버 fast=46, slow=199 |
3.2% | -39.4% | 0.25 | 0.08 | 1.3x | 4 | 24% |
| EMA 크로스오버 fast=56, slow=146 |
2.5% | -53.1% | 0.23 | 0.05 | 1.2x | 6 | 27% |
| ROC 모멘텀 n=121, threshold=0.09 |
1.2% | -47.3% | 0.17 | 0.03 | 1.1x | 36 | 26% |
| MACD fast=24, slow=41, signal=20 |
-7.1% | -73.3% | -0.06 | -0.10 | 0.6x | 76 | 50% |
| Supertrend period=23, mult=3.1 |
-10.5% | -79.9% | -0.17 | -0.13 | 0.4x | 48 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-14.3% | -83.3% | -0.31 | -0.17 | 0.3x | 134 | 51% |
| Buy and hold | -18.5% | -95.0% | -0.14 | -0.19 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 10-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 10-day average