Trend-Following Backtester · Guide · backtest 한국어
equity · US
Exponent, Inc. backtest
10 trend-following strategies were compared on the full daily history of Exponent, Inc.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.4%, MDD -52.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.5%, drawdown -86.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.4%, MDD -52.4%, Sharpe 0.49, 70% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 34.0%p (CAGR 11.4%, MDD -52.4%, exposure 70%).
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=72, slow=273 |
11.4% | -52.4% | 0.49 | 0.22 | 48.9x | 24 | 70% |
| SMA 크로스오버 fast=44, slow=218 |
7.0% | -58.0% | 0.37 | 0.12 | 11.3x | 48 | 67% |
| Supertrend period=15, mult=4.9 |
3.9% | -72.1% | 0.28 | 0.05 | 4.0x | 81 | 66% |
| Donchian 채널 돌파 entryN=116, exitN=71 |
2.7% | -74.3% | 0.24 | 0.04 | 2.6x | 48 | 58% |
| ROC 모멘텀 n=113, threshold=-0.11 |
-1.1% | -97.3% | 0.17 | -0.01 | 0.7x | 289 | 83% |
| ADX / DI 방향성 period=33, threshold=32 |
0.3% | -35.2% | 0.09 | 0.01 | 1.1x | 28 | 5% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-3.5% | -90.1% | 0.05 | -0.04 | 0.3x | 287 | 54% |
| 볼린저 밴드 돌파 n=53, k=3.4 |
-1.4% | -64.7% | -0.02 | -0.02 | 0.6x | 58 | 15% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=13, mult=3.8 |
-1.2% | -67.8% | -0.03 | -0.02 | 0.6x | 62 | 14% |
| MACD fast=22, slow=65, signal=23 |
-9.7% | -99.1% | -0.15 | -0.10 | 0.0x | 347 | 49% |
| Buy and hold | 10.5% | -86.4% | 0.45 | 0.12 | 36.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 72-day EMA crosses above the 273-day EMA
- Sell — Sell when the 72-day EMA falls below the 273-day EMA