Trend-Following Backtester · Guide · backtest 한국어
equity · US
Microsoft backtest
10 trend-following strategies were compared on the full daily history of Microsoft. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 23.5%, drawdown -74.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.9%, MDD -76.7%, Sharpe 0.68, 72% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 15.9%, MDD -76.8%, exposure 84%.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=49, slow=119 |
15.9% | -76.7% | 0.68 | 0.21 | 385.9x | 75 | 72% |
| SMA 크로스오버 fast=29, slow=138 |
15.3% | -74.5% | 0.68 | 0.20 | 313.8x | 83 | 67% |
| ROC 모멘텀 n=124, threshold=-0.09 |
15.9% | -76.8% | 0.66 | 0.21 | 387.7x | 237 | 84% |
| Donchian 채널 돌파 entryN=54, exitN=45 |
12.9% | -59.5% | 0.63 | 0.22 | 136.8x | 97 | 63% |
| Supertrend period=22, mult=4.5 |
12.3% | -75.2% | 0.63 | 0.16 | 109.1x | 149 | 58% |
| 볼린저 밴드 돌파 n=50, k=2.6 |
7.0% | -50.3% | 0.49 | 0.14 | 15.3x | 109 | 27% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=14, mult=2 |
7.7% | -69.0% | 0.47 | 0.11 | 20.1x | 247 | 44% |
| MACD fast=16, slow=59, signal=18 |
6.6% | -56.5% | 0.40 | 0.12 | 13.4x | 455 | 51% |
| Parabolic SAR step=0.01, maxStep=0.16 |
6.0% | -68.0% | 0.37 | 0.09 | 10.4x | 573 | 56% |
| ADX / DI 방향성 period=34, threshold=13 |
4.5% | -72.4% | 0.32 | 0.06 | 5.8x | 313 | 40% |
| Buy and hold | 23.5% | -74.6% | 0.80 | 0.32 | 5192.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 49-day EMA crosses above the 119-day EMA
- Sell — Sell when the 49-day EMA falls below the 119-day EMA