Trend-Following Backtester · Guide · backtest 한국어
equity · US
Charles Schwab Corporation (The) backtest
10 trend-following strategies were compared on the full daily history of Charles Schwab Corporation (The). 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.5%, MDD -66.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.8%, drawdown -86.9%).
Sharpe leader (same as main): Supertrend — CAGR 13.3%, MDD -70.3%, Sharpe 0.56, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 16.6%p (CAGR 12.5%, MDD -66.9%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=14, mult=3.1 |
13.3% | -70.3% | 0.56 | 0.19 | 129.5x | 261 | 57% |
| SMA 크로스오버 fast=52, slow=121 |
12.5% | -66.9% | 0.52 | 0.19 | 96.6x | 93 | 64% |
| Donchian 채널 돌파 entryN=41, exitN=77 |
12.2% | -71.0% | 0.50 | 0.17 | 89.9x | 77 | 73% |
| ROC 모멘텀 n=111, threshold=-0.03 |
11.1% | -88.8% | 0.49 | 0.12 | 59.7x | 343 | 68% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=18, mult=1.7 |
9.5% | -53.5% | 0.48 | 0.18 | 34.4x | 243 | 45% |
| EMA 크로스오버 fast=31, slow=155 |
10.0% | -82.8% | 0.46 | 0.12 | 41.2x | 83 | 64% |
| 볼린저 밴드 돌파 n=57, k=1.1 |
8.5% | -58.6% | 0.44 | 0.15 | 24.2x | 227 | 48% |
| ADX / DI 방향성 period=38, threshold=22 |
5.2% | -48.5% | 0.40 | 0.11 | 7.2x | 52 | 13% |
| MACD fast=21, slow=59, signal=22 |
5.5% | -80.9% | 0.33 | 0.07 | 8.2x | 381 | 52% |
| Parabolic SAR step=0.005, maxStep=0.38 |
5.1% | -72.3% | 0.31 | 0.07 | 6.9x | 342 | 55% |
| Buy and hold | 15.8% | -86.9% | 0.55 | 0.18 | 301.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 14-day volatility, 3.1× band
- Sell — Sell when price drops below the trend line (flips down)