Trend-Following Backtester · Guide · backtest 한국어
equity · US
Northern Trust Corporation backtest
10 trend-following strategies were compared on the full daily history of Northern Trust Corporation. 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 12.4%, drawdown -68.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.1%, MDD -59.2%, Sharpe 0.51, 71% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.9%, MDD -64.4%, exposure 83%.
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=52, slow=204 |
9.1% | -59.2% | 0.51 | 0.15 | 55.8x | 45 | 71% |
| Donchian 채널 돌파 entryN=20, exitN=66 |
9.9% | -64.4% | 0.50 | 0.15 | 79.0x | 113 | 83% |
| SMA 크로스오버 fast=19, slow=208 |
7.9% | -63.5% | 0.47 | 0.12 | 33.7x | 83 | 68% |
| ROC 모멘텀 n=49, threshold=-0.13 |
9.2% | -73.5% | 0.47 | 0.12 | 58.4x | 191 | 92% |
| Supertrend period=13, mult=5 |
6.6% | -66.6% | 0.41 | 0.10 | 19.2x | 141 | 62% |
| ADX / DI 방향성 period=35, threshold=32 |
1.7% | -28.4% | 0.36 | 0.06 | 2.2x | 40 | 8% |
| 볼린저 밴드 돌파 n=26, k=3 |
2.0% | -48.3% | 0.29 | 0.04 | 2.5x | 112 | 13% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=17, mult=4 |
1.6% | -34.1% | 0.27 | 0.05 | 2.1x | 74 | 12% |
| Parabolic SAR step=0.005, maxStep=0.12 |
3.2% | -89.2% | 0.26 | 0.04 | 4.2x | 374 | 57% |
| MACD fast=28, slow=57, signal=18 |
1.5% | -80.1% | 0.17 | 0.02 | 2.0x | 414 | 50% |
| Buy and hold | 12.4% | -68.7% | 0.54 | 0.18 | 225.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 52-day EMA crosses above the 204-day EMA
- Sell — Sell when the 52-day EMA falls below the 204-day EMA