Trend-Following Backtester · Guide · backtest 한국어
equity · US
Compass, Inc. backtest
10 trend-following strategies were compared on the full daily history of Compass, Inc.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.8%, MDD -28.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.2%, drawdown -90.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.4%, MDD -50.8%, Sharpe 0.53, 42% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 24.7%p higher than buy and hold, while drawdown improves by 40.1%p (CAGR 4.8%, MDD -28.2%, exposure 16%).
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=52, slow=215 |
14.4% | -50.8% | 0.53 | 0.28 | 2.1x | 3 | 42% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=19, mult=2.1 |
8.7% | -49.1% | 0.40 | 0.18 | 1.6x | 25 | 34% |
| ROC 모멘텀 n=154, threshold=-0.02 |
7.9% | -63.8% | 0.39 | 0.12 | 1.5x | 49 | 48% |
| 볼린저 밴드 돌파 n=36, k=1.8 |
6.7% | -56.2% | 0.36 | 0.12 | 1.4x | 29 | 36% |
| Supertrend period=11, mult=4.8 |
5.5% | -63.7% | 0.36 | 0.09 | 1.3x | 17 | 54% |
| MACD fast=8, slow=17, signal=11 |
3.5% | -79.8% | 0.32 | 0.04 | 1.2x | 106 | 49% |
| ADX / DI 방향성 period=12, threshold=32 |
4.8% | -28.2% | 0.30 | 0.17 | 1.3x | 26 | 16% |
| Donchian 채널 돌파 entryN=39, exitN=66 |
1.6% | -62.5% | 0.30 | 0.03 | 1.1x | 13 | 59% |
| Parabolic SAR step=0.035, maxStep=0.16 |
2.0% | -58.5% | 0.28 | 0.03 | 1.1x | 143 | 46% |
| SMA 크로스오버 fast=52, slow=174 |
-0.8% | -55.0% | 0.23 | -0.01 | 1.0x | 7 | 49% |
| Buy and hold | -10.2% | -90.9% | 0.24 | -0.11 | 0.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 52-day EMA crosses above the 215-day EMA
- Sell — Sell when the 52-day EMA falls below the 215-day EMA