Trend-Following Backtester · Guide · backtest 한국어
equity · US
Champion Homes, Inc. backtest
10 trend-following strategies were compared on the full daily history of Champion Homes, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.9%, drawdown -94.4%).
Sharpe leader (same as main): Supertrend — CAGR 0.3%, MDD -97.3%, Sharpe 0.16, 50% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 0.6%, MDD -20.2%, exposure 1%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=27, mult=4 |
0.3% | -97.3% | 0.16 | 0.00 | 1.2x | 257 | 50% |
| Donchian 채널 돌파 entryN=12, exitN=75 |
-1.7% | -99.2% | 0.15 | -0.02 | 0.4x | 197 | 81% |
| SMA 크로스오버 fast=30, slow=103 |
-0.2% | -98.2% | 0.14 | -0.00 | 0.9x | 163 | 52% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=9, mult=3.5 |
0.6% | -20.2% | 0.12 | 0.03 | 1.3x | 18 | 1% |
| ADX / DI 방향성 period=38, threshold=24 |
0.4% | -32.9% | 0.08 | 0.01 | 1.2x | 32 | 4% |
| EMA 크로스오버 fast=53, slow=74 |
-2.4% | -98.4% | 0.06 | -0.02 | 0.3x | 147 | 50% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
-0.3% | -73.0% | 0.05 | -0.00 | 0.9x | 58 | 10% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-3.5% | -99.0% | 0.05 | -0.04 | 0.1x | 670 | 49% |
| MACD fast=15, slow=56, signal=15 |
-6.7% | -99.4% | -0.06 | -0.07 | 0.0x | 656 | 50% |
| ROC 모멘텀 n=82, threshold=-0.02 |
-7.9% | -99.9% | -0.10 | -0.08 | 0.0x | 745 | 56% |
| Buy and hold | 2.9% | -94.4% | 0.29 | 0.03 | 4.5x | 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) — 27-day volatility, 4× band
- Sell — Sell when price drops below the trend line (flips down)