Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fannie Mae backtest
10 trend-following strategies were compared on the full daily history of Fannie Mae. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.3%, MDD -62.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.9%, drawdown -99.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.2%, MDD -93.2%, Sharpe 0.48, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.3%p higher than buy and hold, while drawdown improves by 6.5%p (CAGR 9.3%, MDD -62.7%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=25, slow=252 |
12.2% | -93.2% | 0.48 | 0.13 | 299.9x | 74 | 53% |
| Donchian 채널 돌파 entryN=35, exitN=56 |
11.8% | -79.7% | 0.46 | 0.15 | 255.0x | 126 | 61% |
| 볼린저 밴드 돌파 n=38, k=2.5 |
11.0% | -73.5% | 0.45 | 0.15 | 179.4x | 190 | 25% |
| Supertrend period=14, mult=4.9 |
10.0% | -93.8% | 0.43 | 0.11 | 113.5x | 149 | 56% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=15, mult=3 |
9.3% | -62.7% | 0.41 | 0.15 | 83.7x | 166 | 25% |
| SMA 크로스오버 fast=20, slow=120 |
9.1% | -91.6% | 0.41 | 0.10 | 75.1x | 142 | 52% |
| ROC 모멘텀 n=140, threshold=-0.05 |
8.6% | -88.2% | 0.40 | 0.10 | 60.1x | 402 | 63% |
| ADX / DI 방향성 period=19, threshold=20 |
6.2% | -76.7% | 0.34 | 0.08 | 19.5x | 358 | 28% |
| MACD fast=10, slow=59, signal=19 |
-0.5% | -99.8% | 0.28 | -0.01 | 0.8x | 637 | 50% |
| Parabolic SAR step=0.03, maxStep=0.18 |
-8.1% | -99.9% | 0.10 | -0.08 | 0.0x | 1181 | 50% |
| Buy and hold | 2.9% | -99.8% | 0.40 | 0.03 | 4.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 25-day EMA crosses above the 252-day EMA
- Sell — Sell when the 25-day EMA falls below the 252-day EMA