Trend-Following Backtester · Guide · backtest 한국어
equity · US
CTS Corporation backtest
10 trend-following strategies were compared on the full daily history of CTS Corporation. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.2%, MDD -69.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.9%, drawdown -97.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.5%, MDD -55.3%, Sharpe 0.39, 27% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.2%, MDD -69.7%, exposure 42%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 42.1%p (CAGR 6.2%, MDD -69.7%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=19, threshold=22 |
5.5% | -55.3% | 0.39 | 0.10 | 11.8x | 270 | 27% |
| Donchian 채널 돌파 entryN=95, exitN=50 |
6.2% | -69.7% | 0.38 | 0.09 | 16.0x | 85 | 42% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=9, mult=3.3 |
4.1% | -51.4% | 0.34 | 0.08 | 6.6x | 156 | 24% |
| SMA 크로스오버 fast=11, slow=89 |
5.6% | -77.1% | 0.34 | 0.07 | 12.4x | 203 | 56% |
| EMA 크로스오버 fast=34, slow=35 |
5.6% | -76.2% | 0.34 | 0.07 | 12.3x | 195 | 56% |
| Supertrend period=13, mult=5 |
5.5% | -80.9% | 0.34 | 0.07 | 12.1x | 173 | 54% |
| 볼린저 밴드 돌파 n=41, k=2.9 |
3.2% | -50.9% | 0.30 | 0.06 | 4.3x | 104 | 17% |
| ROC 모멘텀 n=28, threshold=-0.12 |
4.3% | -93.2% | 0.29 | 0.05 | 6.9x | 371 | 89% |
| MACD fast=19, slow=59, signal=20 |
1.7% | -84.8% | 0.20 | 0.02 | 2.2x | 458 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
1.1% | -90.7% | 0.18 | 0.01 | 1.7x | 380 | 53% |
| Buy and hold | 6.9% | -97.5% | 0.37 | 0.07 | 22.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 19-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)