Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cohen & Steers Inc backtest
10 trend-following strategies were compared on the full daily history of Cohen & Steers Inc. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.6%, MDD -32.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.6%, drawdown -86.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.6%, MDD -32.9%, Sharpe 0.62, 53% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 53.1%p (CAGR 12.6%, MDD -32.9%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=18, exitN=18 |
12.6% | -32.9% | 0.62 | 0.38 | 13.6x | 117 | 53% |
| SMA 크로스오버 fast=9, slow=39 |
10.2% | -47.5% | 0.52 | 0.22 | 8.6x | 169 | 53% |
| Supertrend period=11, mult=3.8 |
9.0% | -39.0% | 0.48 | 0.23 | 6.7x | 99 | 50% |
| 볼린저 밴드 돌파 n=44, k=1.3 |
8.0% | -41.3% | 0.46 | 0.19 | 5.5x | 135 | 42% |
| EMA 크로스오버 fast=13, slow=44 |
8.6% | -40.6% | 0.46 | 0.21 | 6.2x | 115 | 55% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=10, mult=1.6 |
7.0% | -51.2% | 0.43 | 0.14 | 4.4x | 158 | 37% |
| MACD fast=11, slow=49, signal=12 |
6.7% | -59.6% | 0.38 | 0.11 | 4.2x | 342 | 51% |
| Parabolic SAR step=0.005, maxStep=0.12 |
6.0% | -55.0% | 0.35 | 0.11 | 3.6x | 199 | 51% |
| ADX / DI 방향성 period=17, threshold=17 |
2.7% | -50.3% | 0.23 | 0.05 | 1.8x | 252 | 36% |
| ROC 모멘텀 n=149, threshold=-0.03 |
2.4% | -70.4% | 0.22 | 0.03 | 1.7x | 183 | 63% |
| Buy and hold | 8.6% | -86.0% | 0.41 | 0.10 | 6.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 18 days
- Sell — Sell when price breaks below the lowest low of the last 18 days