Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fiserv, Inc. backtest
10 trend-following strategies were compared on the full daily history of Fiserv, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.2%, MDD -45.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.1%, drawdown -80.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.2%, MDD -45.4%, Sharpe 0.59, 80% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 34.8%p (CAGR 13.2%, MDD -45.4%, exposure 80%).
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=74, slow=352 |
13.2% | -45.4% | 0.59 | 0.29 | 141.4x | 24 | 80% |
| ROC 모멘텀 n=347, threshold=-0.1 |
11.1% | -64.4% | 0.50 | 0.17 | 66.0x | 108 | 88% |
| Donchian 채널 돌파 entryN=13, exitN=71 |
10.2% | -68.5% | 0.48 | 0.15 | 47.3x | 95 | 87% |
| EMA 크로스오버 fast=50, slow=151 |
6.3% | -56.3% | 0.37 | 0.11 | 11.6x | 64 | 75% |
| Supertrend period=15, mult=4.8 |
4.6% | -68.4% | 0.31 | 0.07 | 5.9x | 116 | 63% |
| ADX / DI 방향성 period=30, threshold=29 |
1.6% | -23.7% | 0.23 | 0.07 | 1.9x | 36 | 7% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=22, mult=2.8 |
1.7% | -71.0% | 0.18 | 0.02 | 2.0x | 150 | 44% |
| 볼린저 밴드 돌파 n=49, k=2.5 |
1.1% | -43.5% | 0.15 | 0.03 | 1.5x | 138 | 30% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-2.1% | -87.7% | 0.03 | -0.02 | 0.4x | 371 | 59% |
| MACD fast=22, slow=31, signal=30 |
-2.6% | -87.1% | 0.01 | -0.03 | 0.4x | 411 | 51% |
| Buy and hold | 14.1% | -80.2% | 0.56 | 0.18 | 193.7x | 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 74-day average price crosses above the 352-day average
- Sell — Sell (to cash) when the 74-day average falls below the 352-day average