Trend-Following Backtester · Guide · backtest 한국어
equity · US
CME Group Inc. backtest
10 trend-following strategies were compared on the full daily history of CME Group Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.3%, MDD -40.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.6%, drawdown -78.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.3%, MDD -40.4%, Sharpe 0.69, 66% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 37.6%p (CAGR 13.3%, MDD -40.4%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=34, slow=71 |
13.3% | -40.4% | 0.69 | 0.33 | 19.0x | 56 | 66% |
| Donchian 채널 돌파 entryN=85, exitN=38 |
11.3% | -29.3% | 0.66 | 0.39 | 12.6x | 48 | 51% |
| ROC 모멘텀 n=135, threshold=-0.03 |
11.3% | -56.5% | 0.60 | 0.20 | 12.5x | 123 | 75% |
| SMA 크로스오버 fast=15, slow=163 |
10.8% | -38.4% | 0.59 | 0.28 | 11.2x | 60 | 68% |
| Supertrend period=8, mult=5 |
8.8% | -62.0% | 0.52 | 0.14 | 7.4x | 69 | 57% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=22, mult=2.1 |
6.5% | -46.4% | 0.45 | 0.14 | 4.5x | 120 | 44% |
| ADX / DI 방향성 period=34, threshold=24 |
3.6% | -19.2% | 0.44 | 0.19 | 2.3x | 26 | 8% |
| 볼린저 밴드 돌파 n=54, k=0.7 |
6.8% | -49.1% | 0.42 | 0.14 | 4.8x | 184 | 51% |
| MACD fast=22, slow=39, signal=21 |
3.0% | -67.8% | 0.24 | 0.04 | 2.0x | 229 | 52% |
| Parabolic SAR step=0.005, maxStep=0.24 |
0.8% | -76.5% | 0.15 | 0.01 | 1.2x | 221 | 55% |
| Buy and hold | 15.6% | -78.0% | 0.61 | 0.20 | 31.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 34-day EMA crosses above the 71-day EMA
- Sell — Sell when the 34-day EMA falls below the 71-day EMA