Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cooper-Standard Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Cooper-Standard Holdings Inc.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 19.4%, MDD -49.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.4%, drawdown -97.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.4%, MDD -49.5%, Sharpe 0.62, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 19.8%p higher than buy and hold, while drawdown improves by 47.9%p (CAGR 19.4%, MDD -49.5%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=77, slow=148 |
19.4% | -49.5% | 0.62 | 0.39 | 17.6x | 20 | 54% |
| ROC 모멘텀 n=122, threshold=0 |
10.6% | -63.6% | 0.44 | 0.17 | 5.1x | 112 | 55% |
| Donchian 채널 돌파 entryN=102, exitN=74 |
6.4% | -54.0% | 0.35 | 0.12 | 2.7x | 18 | 50% |
| 볼린저 밴드 돌파 n=12, k=2.2 |
6.0% | -56.3% | 0.34 | 0.11 | 2.6x | 164 | 23% |
| EMA 크로스오버 fast=63, slow=88 |
4.1% | -78.1% | 0.29 | 0.05 | 1.9x | 28 | 55% |
| Supertrend period=27, mult=1.3 |
1.2% | -84.5% | 0.25 | 0.01 | 1.2x | 331 | 51% |
| Parabolic SAR step=0.025, maxStep=0.36 |
-0.6% | -85.7% | 0.21 | -0.01 | 0.9x | 357 | 49% |
| MACD fast=6, slow=55, signal=17 |
-2.0% | -93.2% | 0.20 | -0.02 | 0.7x | 261 | 49% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=25, mult=1.4 |
0.9% | -71.7% | 0.18 | 0.01 | 1.2x | 166 | 26% |
| ADX / DI 방향성 period=8, threshold=11 |
-2.4% | -81.9% | 0.17 | -0.03 | 0.7x | 463 | 46% |
| Buy and hold | -0.4% | -97.4% | 0.30 | -0.00 | 0.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 77-day average price crosses above the 148-day average
- Sell — Sell (to cash) when the 77-day average falls below the 148-day average