Trend-Following Backtester · Guide · backtest 한국어
equity · US
Paramount Skydance Corporation backtest
10 trend-following strategies were compared on the full daily history of Paramount Skydance Corporation. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.9%, MDD -35.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.7%, drawdown -92.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.6%, MDD -64.1%, Sharpe 0.48, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.3%p higher than buy and hold, while drawdown improves by 28.1%p (CAGR 3.9%, MDD -35.9%, exposure 4%).
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=69, slow=157 |
9.6% | -64.1% | 0.48 | 0.15 | 6.6x | 16 | 48% |
| SMA 크로스오버 fast=56, slow=202 |
9.0% | -74.4% | 0.45 | 0.12 | 5.9x | 20 | 46% |
| ADX / DI 방향성 period=23, threshold=32 |
3.9% | -35.9% | 0.39 | 0.11 | 2.2x | 14 | 4% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=15, mult=2.7 |
5.5% | -56.5% | 0.36 | 0.10 | 3.0x | 70 | 28% |
| Donchian 채널 돌파 entryN=114, exitN=31 |
4.4% | -61.5% | 0.32 | 0.07 | 2.4x | 34 | 31% |
| Supertrend period=16, mult=3.4 |
3.6% | -90.8% | 0.27 | 0.04 | 2.1x | 102 | 53% |
| 볼린저 밴드 돌파 n=57, k=2.9 |
2.8% | -73.7% | 0.25 | 0.04 | 1.8x | 28 | 16% |
| ROC 모멘텀 n=129, threshold=-0.02 |
2.0% | -85.0% | 0.21 | 0.02 | 1.5x | 164 | 51% |
| Parabolic SAR step=0.015, maxStep=0.04 |
-0.7% | -86.8% | 0.12 | -0.01 | 0.9x | 208 | 52% |
| MACD fast=15, slow=54, signal=18 |
-5.7% | -85.7% | -0.02 | -0.07 | 0.3x | 254 | 52% |
| Buy and hold | -5.7% | -92.2% | 0.10 | -0.06 | 0.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 69-day EMA crosses above the 157-day EMA
- Sell — Sell when the 69-day EMA falls below the 157-day EMA