Trend-Following Backtester · Guide · backtest 한국어
equity · US
Covista Inc. backtest
10 trend-following strategies were compared on the full daily history of Covista Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.7%, MDD -58.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.2%, drawdown -78.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.7%, MDD -58.5%, Sharpe 0.53, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 20.2%p (CAGR 12.7%, MDD -58.5%, exposure 64%).
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=45, slow=282 |
12.7% | -58.5% | 0.53 | 0.22 | 67.6x | 31 | 64% |
| EMA 크로스오버 fast=58, slow=192 |
11.5% | -58.8% | 0.50 | 0.20 | 45.6x | 35 | 66% |
| ROC 모멘텀 n=148, threshold=-0.11 |
9.0% | -67.3% | 0.42 | 0.13 | 21.0x | 175 | 74% |
| Donchian 채널 돌파 entryN=42, exitN=78 |
6.8% | -76.3% | 0.36 | 0.09 | 10.0x | 69 | 71% |
| ADX / DI 방향성 period=29, threshold=37 |
1.1% | -11.1% | 0.26 | 0.10 | 1.5x | 8 | 2% |
| Supertrend period=13, mult=5 |
2.5% | -88.2% | 0.24 | 0.03 | 2.4x | 119 | 59% |
| 볼린저 밴드 돌파 n=82, k=3.2 |
2.3% | -58.0% | 0.21 | 0.04 | 2.2x | 50 | 24% |
| MACD fast=11, slow=22, signal=7 |
-3.8% | -97.2% | 0.02 | -0.04 | 0.3x | 775 | 49% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-4.1% | -98.4% | 0.01 | -0.04 | 0.2x | 699 | 53% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=22, mult=2.4 |
-3.4% | -85.9% | -0.02 | -0.04 | 0.3x | 189 | 40% |
| Buy and hold | 14.2% | -78.7% | 0.53 | 0.18 | 108.0x | 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 45-day average price crosses above the 282-day average
- Sell — Sell (to cash) when the 45-day average falls below the 282-day average