Trend-Following Backtester · Guide · backtest 한국어
equity · US
Meta backtest
10 trend-following strategies were compared on the full daily history of Meta. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 23.0%, MDD -23.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 20.8%, drawdown -76.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.0%, MDD -23.6%, Sharpe 0.92, 65% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 23.4%, MDD -35.0%, exposure 71%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 53.1%p (CAGR 23.0%, MDD -23.6%, exposure 65%).
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=26, slow=78 |
23.0% | -23.6% | 0.92 | 0.97 | 19.2x | 42 | 65% |
| ROC 모멘텀 n=200, threshold=0.07 |
23.4% | -35.0% | 0.90 | 0.67 | 20.2x | 40 | 71% |
| Donchian 채널 돌파 entryN=63, exitN=97 |
23.4% | -34.6% | 0.89 | 0.67 | 20.1x | 14 | 75% |
| EMA 크로스오버 fast=17, slow=218 |
22.5% | -39.5% | 0.87 | 0.57 | 18.1x | 16 | 74% |
| ADX / DI 방향성 period=22, threshold=38 |
6.5% | -8.7% | 0.79 | 0.74 | 2.4x | 8 | 6% |
| Supertrend period=18, mult=3 |
15.7% | -48.1% | 0.66 | 0.33 | 8.0x | 100 | 62% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=27, mult=1.3 |
14.4% | -35.1% | 0.65 | 0.41 | 6.8x | 84 | 58% |
| 볼린저 밴드 돌파 n=47, k=3.5 |
5.1% | -19.3% | 0.51 | 0.27 | 2.0x | 12 | 11% |
| Parabolic SAR step=0.01, maxStep=0.12 |
3.2% | -65.6% | 0.25 | 0.05 | 1.6x | 202 | 57% |
| MACD fast=19, slow=42, signal=18 |
2.0% | -83.2% | 0.21 | 0.02 | 1.3x | 168 | 51% |
| Buy and hold | 20.8% | -76.7% | 0.67 | 0.27 | 14.9x | 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 26-day average price crosses above the 78-day average
- Sell — Sell (to cash) when the 26-day average falls below the 78-day average