Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tradeweb Markets Inc. backtest
10 trend-following strategies were compared on the full daily history of Tradeweb Markets Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.9%, MDD -29.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.1%, drawdown -48.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.9%, MDD -29.4%, Sharpe 0.80, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 19.4%p (CAGR 16.9%, MDD -29.4%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=34, slow=239 |
16.9% | -29.4% | 0.80 | 0.57 | 3.1x | 6 | 63% |
| ROC 모멘텀 n=197, threshold=0.11 |
13.4% | -27.0% | 0.73 | 0.50 | 2.5x | 34 | 54% |
| Supertrend period=23, mult=2.9 |
12.3% | -29.2% | 0.64 | 0.42 | 2.3x | 43 | 59% |
| EMA 크로스오버 fast=49, slow=129 |
12.9% | -30.1% | 0.62 | 0.43 | 2.4x | 8 | 68% |
| MACD fast=16, slow=52, signal=8 |
10.6% | -26.7% | 0.60 | 0.40 | 2.1x | 95 | 48% |
| Parabolic SAR step=0.005, maxStep=0.34 |
4.4% | -44.1% | 0.31 | 0.10 | 1.4x | 75 | 56% |
| Donchian 채널 돌파 entryN=83, exitN=44 |
3.6% | -27.0% | 0.28 | 0.13 | 1.3x | 16 | 56% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=27, mult=3.1 |
0.5% | -3.5% | 0.26 | 0.15 | 1.0x | 2 | 2% |
| 볼린저 밴드 돌파 n=17, k=2 |
1.8% | -28.1% | 0.19 | 0.06 | 1.1x | 76 | 32% |
| ADX / DI 방향성 period=30, threshold=20 |
-1.5% | -23.3% | -0.05 | -0.06 | 0.9x | 22 | 18% |
| Buy and hold | 15.1% | -48.8% | 0.61 | 0.31 | 2.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 34-day average price crosses above the 239-day average
- Sell — Sell (to cash) when the 34-day average falls below the 239-day average