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 4.7%, MDD -28.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.3%, drawdown -90.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.6%, MDD -50.8%, Sharpe 0.49, 43% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 23.9%p higher than buy and hold, while drawdown improves by 40.1%p (CAGR 4.7%, 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 |
12.6% | -50.8% | 0.49 | 0.25 | 1.9x | 3 | 43% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=19, mult=2.1 |
8.7% | -49.1% | 0.41 | 0.18 | 1.6x | 26 | 35% |
| ROC 모멘텀 n=154, threshold=-0.02 |
8.6% | -63.8% | 0.40 | 0.13 | 1.6x | 50 | 48% |
| 볼린저 밴드 돌파 n=36, k=1.8 |
7.4% | -56.2% | 0.38 | 0.13 | 1.5x | 30 | 36% |
| Supertrend period=11, mult=4.8 |
4.0% | -63.7% | 0.33 | 0.06 | 1.2x | 17 | 55% |
| Parabolic SAR step=0.035, maxStep=0.16 |
3.5% | -58.5% | 0.31 | 0.06 | 1.2x | 144 | 46% |
| MACD fast=8, slow=17, signal=11 |
2.5% | -79.8% | 0.30 | 0.03 | 1.1x | 108 | 49% |
| ADX / DI 방향성 period=12, threshold=32 |
4.7% | -28.2% | 0.30 | 0.17 | 1.3x | 26 | 16% |
| Donchian 채널 돌파 entryN=39, exitN=66 |
0.1% | -62.5% | 0.27 | 0.00 | 1.0x | 13 | 60% |
| SMA 크로스오버 fast=52, slow=174 |
-2.1% | -55.0% | 0.20 | -0.04 | 0.9x | 7 | 50% |
| Buy and hold | -11.3% | -90.9% | 0.22 | -0.12 | 0.5x | 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