Trend-Following Backtester · Guide · backtest 한국어
equity · US
Transcat, Inc. backtest
10 trend-following strategies were compared on the full daily history of Transcat, Inc.. 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 13.4%, drawdown -93.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.2%, MDD -77.1%, Sharpe 0.46, 68% exposure.
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=101, slow=312 |
11.2% | -77.1% | 0.46 | 0.15 | 176.7x | 25 | 68% |
| SMA 크로스오버 fast=57, slow=370 |
9.7% | -83.7% | 0.43 | 0.12 | 91.2x | 37 | 65% |
| ROC 모멘텀 Hold-like · Exposure 99% n=1, threshold=-0.15 |
5.3% | -97.9% | 0.42 | 0.05 | 12.5x | 129 | 99% |
| Donchian 채널 돌파 entryN=46, exitN=133 |
2.5% | -98.1% | 0.33 | 0.03 | 3.3x | 61 | 72% |
| ADX / DI 방향성 period=28, threshold=37 |
5.0% | -82.9% | 0.31 | 0.06 | 10.7x | 26 | 21% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-1.7% | -99.0% | 0.20 | -0.02 | 0.4x | 330 | 49% |
| Supertrend period=22, mult=4.8 |
-5.6% | -99.8% | 0.15 | -0.06 | 0.1x | 133 | 60% |
| 볼린저 밴드 돌파 n=34, k=3.5 |
-0.6% | -93.3% | 0.09 | -0.01 | 0.7x | 86 | 10% |
| MACD fast=24, slow=41, signal=23 |
-10.9% | -100.0% | 0.02 | -0.11 | 0.0x | 528 | 49% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=20, mult=2.9 |
-8.4% | -99.3% | -0.12 | -0.08 | 0.0x | 156 | 19% |
| Buy and hold | 13.4% | -93.3% | 0.52 | 0.14 | 453.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 101-day EMA crosses above the 312-day EMA
- Sell — Sell when the 101-day EMA falls below the 312-day EMA