Trend-Following Backtester · Guide · backtest 한국어
equity · US
Illumina, Inc. backtest
10 trend-following strategies were compared on the full daily history of Illumina, Inc.. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 18.5%, MDD -49.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 9.7%, drawdown -96.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 18.5%, MDD -49.7%, Sharpe 0.68, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 8.8%p higher than buy and hold, while drawdown improves by 46.4%p (CAGR 18.5%, MDD -49.7%, exposure 59%).
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=24, slow=212 |
18.5% | -49.7% | 0.68 | 0.37 | 84.1x | 31 | 59% |
| SMA 크로스오버 fast=23, slow=184 |
17.9% | -64.5% | 0.66 | 0.28 | 73.5x | 41 | 60% |
| Donchian 채널 돌파 entryN=32, exitN=72 |
17.2% | -79.7% | 0.59 | 0.22 | 63.3x | 49 | 75% |
| ROC 모멘텀 n=150, threshold=0.12 |
12.6% | -73.0% | 0.54 | 0.17 | 22.1x | 179 | 49% |
| Supertrend period=8, mult=4.6 |
11.0% | -91.2% | 0.46 | 0.12 | 15.3x | 85 | 63% |
| 볼린저 밴드 돌파 n=31, k=1.4 |
8.9% | -70.7% | 0.42 | 0.13 | 9.3x | 227 | 44% |
| MACD fast=14, slow=51, signal=40 |
8.4% | -78.8% | 0.40 | 0.11 | 8.2x | 231 | 52% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=16, mult=1.2 |
5.6% | -75.4% | 0.33 | 0.07 | 4.1x | 207 | 50% |
| ADX / DI 방향성 period=34, threshold=12 |
5.0% | -76.8% | 0.31 | 0.07 | 3.6x | 227 | 43% |
| Parabolic SAR step=0.025, maxStep=0.26 |
-3.0% | -92.7% | 0.11 | -0.03 | 0.5x | 645 | 54% |
| Buy and hold | 9.7% | -96.1% | 0.44 | 0.10 | 11.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 24-day EMA crosses above the 212-day EMA
- Sell — Sell when the 24-day EMA falls below the 212-day EMA