Trend-Following Backtester · Guide · backtest 한국어
equity · US
Federal Agricultural Mortgage Corporation backtest
10 trend-following strategies were compared on the full daily history of Federal Agricultural Mortgage Corporation. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.9%, MDD -52.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 16.2%, drawdown -95.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.9%, MDD -52.2%, Sharpe 0.61, 60% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 17.4%, MDD -83.7%, exposure 76%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 42.8%p (CAGR 15.9%, MDD -52.2%, exposure 60%).
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=59, slow=96 |
15.9% | -52.2% | 0.61 | 0.31 | 121.4x | 87 | 60% |
| Donchian 채널 돌파 entryN=20, exitN=59 |
17.4% | -83.7% | 0.57 | 0.21 | 182.8x | 93 | 76% |
| EMA 크로스오버 fast=13, slow=167 |
11.7% | -71.7% | 0.50 | 0.16 | 36.4x | 93 | 63% |
| ROC 모멘텀 n=90, threshold=-0.04 |
12.9% | -67.5% | 0.48 | 0.19 | 50.8x | 315 | 69% |
| Supertrend period=22, mult=4.5 |
7.5% | -78.8% | 0.36 | 0.10 | 10.5x | 155 | 56% |
| MACD fast=24, slow=38, signal=9 |
5.3% | -92.2% | 0.31 | 0.06 | 5.4x | 427 | 52% |
| 볼린저 밴드 돌파 n=33, k=2.7 |
4.8% | -62.6% | 0.28 | 0.08 | 4.5x | 99 | 17% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=29, mult=2.7 |
4.6% | -79.7% | 0.28 | 0.06 | 4.3x | 159 | 37% |
| Parabolic SAR step=0.01, maxStep=0.18 |
2.8% | -94.6% | 0.26 | 0.03 | 2.5x | 405 | 52% |
| ADX / DI 방향성 period=30, threshold=13 |
2.8% | -72.8% | 0.24 | 0.04 | 2.5x | 277 | 43% |
| Buy and hold | 16.2% | -95.0% | 0.54 | 0.17 | 129.4x | 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 59-day average price crosses above the 96-day average
- Sell — Sell (to cash) when the 59-day average falls below the 96-day average