Trend-Following Backtester · Guide · backtest 한국어
equity · US
Daily Journal Corp. (S.C.) backtest
10 trend-following strategies were compared on the full daily history of Daily Journal Corp. (S.C.). 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.9%, drawdown -55.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.8%, MDD -55.0%, Sharpe 0.31, 68% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=76, slow=230 |
4.8% | -55.0% | 0.31 | 0.09 | 6.5x | 55 | 68% |
| SMA 크로스오버 fast=41, slow=185 |
4.4% | -71.9% | 0.30 | 0.06 | 5.6x | 85 | 61% |
| ADX / DI 방향성 period=39, threshold=31 |
2.7% | -44.4% | 0.26 | 0.06 | 2.9x | 12 | 6% |
| Donchian 채널 돌파 entryN=39, exitN=105 |
-0.5% | -91.8% | 0.18 | -0.01 | 0.8x | 89 | 76% |
| ROC 모멘텀 n=76, threshold=-0.04 |
-11.3% | -99.8% | -0.14 | -0.11 | 0.0x | 589 | 73% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-9.1% | -99.4% | -0.14 | -0.09 | 0.0x | 254 | 50% |
| MACD fast=40, slow=73, signal=39 |
-9.7% | -99.5% | -0.15 | -0.10 | 0.0x | 277 | 51% |
| 볼린저 밴드 돌파 n=58, k=3.2 |
-5.5% | -96.0% | -0.21 | -0.06 | 0.1x | 104 | 19% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=11, mult=3.4 |
-14.3% | -99.9% | -0.47 | -0.14 | 0.0x | 235 | 34% |
| Supertrend period=9, mult=5 |
-21.0% | -100.0% | -0.55 | -0.21 | 0.0x | 359 | 54% |
| Buy and hold | 10.9% | -55.6% | 0.45 | 0.20 | 63.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 76-day EMA crosses above the 230-day EMA
- Sell — Sell when the 76-day EMA falls below the 230-day EMA