Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Element Fleet Management Corporation backtest
10 trend-following strategies were compared on the full daily history of Element Fleet Management Corporation. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.0%, MDD -44.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.4%, drawdown -80.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.1%, MDD -44.9%, Sharpe 0.79, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 36.0%p (CAGR 16.0%, MDD -44.9%, exposure 66%).
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=51, slow=192 |
16.1% | -44.9% | 0.79 | 0.36 | 9.0x | 12 | 62% |
| EMA 크로스오버 fast=76, slow=125 |
16.0% | -44.9% | 0.77 | 0.36 | 8.8x | 12 | 66% |
| Supertrend period=17, mult=4.9 |
12.1% | -48.7% | 0.62 | 0.25 | 5.3x | 36 | 64% |
| ROC 모멘텀 n=134, threshold=-0.03 |
11.3% | -58.0% | 0.60 | 0.20 | 4.8x | 62 | 66% |
| ADX / DI 방향성 period=49, threshold=27 |
3.5% | -13.0% | 0.57 | 0.27 | 1.7x | 4 | 6% |
| Donchian 채널 돌파 entryN=35, exitN=77 |
10.3% | -51.3% | 0.53 | 0.20 | 4.2x | 25 | 72% |
| Keltner 채널 돌파 emaPeriod=82, atrPeriod=12, mult=1.8 |
8.0% | -50.2% | 0.50 | 0.16 | 3.1x | 56 | 51% |
| 볼린저 밴드 돌파 n=58, k=1.1 |
6.2% | -48.0% | 0.40 | 0.13 | 2.4x | 86 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
2.6% | -62.0% | 0.23 | 0.04 | 1.5x | 234 | 53% |
| MACD fast=7, slow=57, signal=11 |
-0.2% | -70.3% | 0.10 | -0.00 | 1.0x | 276 | 47% |
| Buy and hold | 12.4% | -80.9% | 0.52 | 0.15 | 5.6x | 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 51-day average price crosses above the 192-day average
- Sell — Sell (to cash) when the 51-day average falls below the 192-day average