Trend-Following Backtester · Guide · backtest 한국어
equity · US
Pool Corporation backtest
10 trend-following strategies were compared on the full daily history of Pool Corporation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 17.3%, MDD -59.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.8%, drawdown -77.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 17.3%, MDD -59.0%, Sharpe 0.71, 75% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 18.2%p (CAGR 17.3%, MDD -59.0%, exposure 75%).
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=58, slow=291 |
17.3% | -59.0% | 0.71 | 0.29 | 136.1x | 22 | 75% |
| Donchian 채널 돌파 entryN=4, exitN=58 |
15.0% | -74.1% | 0.59 | 0.20 | 73.8x | 117 | 91% |
| SMA 크로스오버 fast=43, slow=203 |
12.9% | -58.8% | 0.58 | 0.22 | 42.2x | 42 | 70% |
| ROC 모멘텀 n=145, threshold=-0.01 |
9.1% | -61.6% | 0.45 | 0.15 | 14.8x | 208 | 72% |
| MACD fast=31, slow=63, signal=20 |
7.5% | -60.7% | 0.41 | 0.12 | 9.3x | 224 | 51% |
| Supertrend period=29, mult=2.9 |
7.2% | -75.1% | 0.40 | 0.10 | 8.5x | 204 | 60% |
| ADX / DI 방향성 period=28, threshold=49 |
1.6% | -8.2% | 0.34 | 0.19 | 1.6x | 2 | 1% |
| 볼린저 밴드 돌파 n=50, k=1.1 |
3.2% | -72.5% | 0.25 | 0.04 | 2.6x | 236 | 52% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=15, mult=2 |
2.1% | -57.2% | 0.20 | 0.04 | 1.9x | 188 | 47% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-1.3% | -87.7% | 0.08 | -0.01 | 0.7x | 554 | 56% |
| Buy and hold | 18.8% | -77.1% | 0.66 | 0.24 | 200.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 291-day EMA
- Sell — Sell when the 58-day EMA falls below the 291-day EMA