Trend-Following Backtester · Guide · backtest 한국어
equity · US
Clear Secure, Inc. backtest
10 trend-following strategies were compared on the full daily history of Clear Secure, Inc.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.6%, MDD -28.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.5%, drawdown -73.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.1%, MDD -42.7%, Sharpe 0.56, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.6%p higher than buy and hold, while drawdown improves by 30.7%p (CAGR 8.6%, MDD -28.7%, exposure 22%).
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=46, slow=101 |
16.1% | -42.7% | 0.56 | 0.38 | 2.1x | 11 | 49% |
| EMA 크로스오버 fast=38, slow=124 |
13.9% | -35.6% | 0.53 | 0.39 | 1.9x | 5 | 38% |
| ADX / DI 방향성 period=17, threshold=23 |
8.6% | -28.7% | 0.46 | 0.30 | 1.5x | 20 | 22% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=17, mult=3.9 |
7.4% | -32.0% | 0.45 | 0.23 | 1.4x | 6 | 15% |
| Donchian 채널 돌파 entryN=114, exitN=62 |
9.6% | -32.4% | 0.44 | 0.30 | 1.6x | 5 | 33% |
| 볼린저 밴드 돌파 n=59, k=2.9 |
7.9% | -32.0% | 0.43 | 0.25 | 1.5x | 8 | 18% |
| Supertrend period=11, mult=4.9 |
7.1% | -65.6% | 0.38 | 0.11 | 1.4x | 13 | 56% |
| ROC 모멘텀 n=128, threshold=-0.02 |
2.8% | -55.2% | 0.26 | 0.05 | 1.1x | 51 | 47% |
| Parabolic SAR step=0.03, maxStep=0.18 |
-7.3% | -67.9% | 0.06 | -0.11 | 0.7x | 145 | 47% |
| MACD fast=10, slow=13, signal=17 |
-7.1% | -53.4% | 0.02 | -0.13 | 0.7x | 101 | 49% |
| Buy and hold | 6.5% | -73.4% | 0.40 | 0.09 | 1.4x | 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 46-day average price crosses above the 101-day average
- Sell — Sell (to cash) when the 46-day average falls below the 101-day average