Trend-Following Backtester · Guide · backtest 한국어
equity · US
Citigroup, Inc. backtest
10 trend-following strategies were compared on the full daily history of Citigroup, Inc.. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.4%, MDD -56.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.3%, drawdown -98.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.4%, MDD -56.8%, Sharpe 0.44, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 41.4%p (CAGR 7.4%, MDD -56.8%, exposure 59%).
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=6, slow=197 |
7.4% | -56.8% | 0.44 | 0.13 | 33.6x | 151 | 59% |
| Donchian 채널 돌파 entryN=110, exitN=47 |
5.4% | -57.5% | 0.37 | 0.09 | 13.7x | 83 | 44% |
| SMA 크로스오버 fast=8, slow=230 |
5.9% | -68.4% | 0.37 | 0.09 | 17.1x | 121 | 59% |
| ROC 모멘텀 n=144, threshold=-0.03 |
5.0% | -75.5% | 0.33 | 0.07 | 11.3x | 323 | 65% |
| 볼린저 밴드 돌파 n=59, k=1.8 |
2.1% | -68.4% | 0.20 | 0.03 | 2.7x | 208 | 38% |
| Supertrend period=14, mult=4.6 |
1.8% | -83.3% | 0.19 | 0.02 | 2.4x | 192 | 56% |
| MACD fast=18, slow=30, signal=21 |
-1.1% | -95.8% | 0.10 | -0.01 | 0.6x | 582 | 51% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-0.6% | -90.3% | 0.10 | -0.01 | 0.7x | 432 | 54% |
| ADX / DI 방향성 period=19, threshold=21 |
-0.5% | -64.5% | 0.04 | -0.01 | 0.8x | 342 | 22% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=16, mult=2.9 |
-1.6% | -71.3% | -0.02 | -0.02 | 0.4x | 228 | 31% |
| Buy and hold | 4.3% | -98.3% | 0.30 | 0.04 | 8.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 6-day EMA crosses above the 197-day EMA
- Sell — Sell when the 6-day EMA falls below the 197-day EMA