Trend-Following Backtester · Guide · backtest 한국어
equity · US
Popular, Inc. backtest
10 trend-following strategies were compared on the full daily history of Popular, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.0%, MDD -41.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.1%, drawdown -96.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.0%, MDD -41.5%, Sharpe 0.62, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 54.9%p (CAGR 12.0%, MDD -41.5%, exposure 63%).
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=11, slow=303 |
12.0% | -41.5% | 0.62 | 0.29 | 192.3x | 65 | 63% |
| EMA 크로스오버 fast=31, slow=168 |
10.5% | -55.1% | 0.56 | 0.19 | 103.1x | 65 | 62% |
| Donchian 채널 돌파 entryN=81, exitN=87 |
10.3% | -70.1% | 0.55 | 0.15 | 93.6x | 59 | 59% |
| Supertrend period=17, mult=3.3 |
9.9% | -52.8% | 0.49 | 0.19 | 80.4x | 215 | 60% |
| ROC 모멘텀 n=137, threshold=0.01 |
8.5% | -70.2% | 0.47 | 0.12 | 44.8x | 303 | 59% |
| Parabolic SAR step=0.005, maxStep=0.3 |
8.2% | -60.9% | 0.43 | 0.14 | 39.4x | 350 | 58% |
| ADX / DI 방향성 period=24, threshold=39 |
3.9% | -39.2% | 0.42 | 0.10 | 5.9x | 38 | 17% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=17, mult=2.2 |
6.1% | -52.5% | 0.42 | 0.12 | 16.0x | 204 | 32% |
| 볼린저 밴드 돌파 n=47, k=1.9 |
6.5% | -48.7% | 0.41 | 0.13 | 18.8x | 218 | 38% |
| MACD fast=12, slow=51, signal=17 |
6.1% | -68.3% | 0.36 | 0.09 | 15.5x | 586 | 52% |
| Buy and hold | 9.1% | -96.4% | 0.42 | 0.09 | 57.4x | 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 11-day average price crosses above the 303-day average
- Sell — Sell (to cash) when the 11-day average falls below the 303-day average