Trend-Following Backtester · Guide · backtest 한국어
equity · US
Franklin Templeton, Inc. backtest
10 trend-following strategies were compared on the full daily history of Franklin Templeton, 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 15.8%, drawdown -74.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.4%, MDD -60.6%, Sharpe 0.56, 63% 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=26, slow=189 |
15.4% | -60.6% | 0.56 | 0.25 | 476.5x | 57 | 63% |
| SMA 크로스오버 fast=34, slow=219 |
14.0% | -62.8% | 0.52 | 0.22 | 276.4x | 45 | 63% |
| ROC 모멘텀 n=181, threshold=-0.03 |
9.5% | -74.2% | 0.48 | 0.13 | 49.7x | 221 | 66% |
| Donchian 채널 돌파 entryN=126, exitN=104 |
9.0% | -64.8% | 0.47 | 0.14 | 40.6x | 47 | 58% |
| Supertrend period=11, mult=4.4 |
7.7% | -68.6% | 0.43 | 0.11 | 24.2x | 191 | 54% |
| 볼린저 밴드 돌파 n=51, k=1.7 |
5.6% | -64.2% | 0.37 | 0.09 | 10.3x | 207 | 41% |
| ADX / DI 방향성 period=29, threshold=15 |
5.1% | -72.9% | 0.35 | 0.07 | 8.4x | 303 | 36% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=13, mult=2.7 |
4.8% | -63.2% | 0.34 | 0.08 | 7.4x | 205 | 36% |
| MACD fast=10, slow=28, signal=17 |
1.9% | -83.0% | 0.22 | 0.02 | 2.2x | 667 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-1.7% | -94.8% | 0.09 | -0.02 | 0.5x | 741 | 54% |
| Buy and hold | 15.8% | -74.0% | 0.53 | 0.21 | 537.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 26-day EMA crosses above the 189-day EMA
- Sell — Sell when the 26-day EMA falls below the 189-day EMA