Trend-Following Backtester · Guide · backtest 한국어
equity · US
Investors Title Company backtest
10 trend-following strategies were compared on the full daily history of Investors Title Company. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.2%, drawdown -88.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.8%, MDD -79.3%, Sharpe 0.31, 60% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=13, slow=214 |
4.8% | -79.3% | 0.31 | 0.06 | 6.5x | 97 | 60% |
| EMA 크로스오버 fast=38, slow=145 |
4.7% | -78.0% | 0.31 | 0.06 | 6.2x | 79 | 60% |
| Donchian 채널 돌파 entryN=71, exitN=79 |
4.5% | -83.5% | 0.30 | 0.05 | 5.7x | 63 | 63% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=17, mult=4 |
1.8% | -54.0% | 0.19 | 0.03 | 2.0x | 87 | 23% |
| 볼린저 밴드 돌파 n=55, k=2.5 |
1.5% | -53.3% | 0.18 | 0.03 | 1.8x | 139 | 28% |
| Supertrend period=14, mult=4.9 |
-0.5% | -85.1% | 0.17 | -0.01 | 0.8x | 139 | 55% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-0.7% | -82.7% | 0.16 | -0.01 | 0.7x | 275 | 52% |
| ADX / DI 방향성 period=20, threshold=24 |
0.6% | -51.2% | 0.14 | 0.01 | 1.3x | 178 | 21% |
| ROC 모멘텀 n=94, threshold=-0.08 |
-5.1% | -98.5% | 0.07 | -0.05 | 0.1x | 431 | 77% |
| MACD fast=39, slow=69, signal=23 |
-5.0% | -90.7% | 0.05 | -0.05 | 0.1x | 309 | 50% |
| Buy and hold | 9.2% | -88.4% | 0.43 | 0.10 | 32.7x | 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 13-day average price crosses above the 214-day average
- Sell — Sell (to cash) when the 13-day average falls below the 214-day average