Trend-Following Backtester · Guide · backtest 한국어
equity · US
Claritev Corporation backtest
10 trend-following strategies were compared on the full daily history of Claritev Corporation. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 22.3%, MDD -33.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -36.2%, drawdown -98.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 22.3%, MDD -33.8%, Sharpe 0.82, 9% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 58.6%p higher than buy and hold, while drawdown improves by 65.1%p (CAGR 22.3%, MDD -33.8%, exposure 9%).
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=12, atrPeriod=15, mult=2.5 |
22.3% | -33.8% | 0.82 | 0.66 | 3.6x | 12 | 9% |
| SMA 크로스오버 fast=42, slow=75 |
20.7% | -50.2% | 0.63 | 0.41 | 3.3x | 15 | 34% |
| EMA 크로스오버 fast=37, slow=58 |
17.4% | -49.2% | 0.58 | 0.35 | 2.8x | 11 | 35% |
| 볼린저 밴드 돌파 n=36, k=3.5 |
14.3% | -36.0% | 0.57 | 0.40 | 2.3x | 6 | 7% |
| Donchian 채널 돌파 entryN=97, exitN=23 |
13.7% | -45.6% | 0.52 | 0.30 | 2.3x | 10 | 19% |
| ROC 모멘텀 n=59, threshold=0.13 |
14.5% | -63.9% | 0.51 | 0.23 | 2.4x | 52 | 27% |
| ADX / DI 방향성 period=17, threshold=32 |
9.4% | -36.3% | 0.49 | 0.26 | 1.8x | 18 | 13% |
| Supertrend period=21, mult=3.1 |
-3.2% | -63.0% | 0.22 | -0.05 | 0.8x | 34 | 33% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-25.1% | -96.3% | -0.09 | -0.26 | 0.2x | 88 | 44% |
| MACD fast=18, slow=26, signal=15 |
-37.6% | -98.4% | -0.17 | -0.38 | 0.1x | 88 | 55% |
| Buy and hold | -36.2% | -98.9% | 0.05 | -0.37 | 0.1x | 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 12-day average + 2.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average