Trend-Following Backtester · Guide · backtest 한국어
equity · US
Coursera, Inc. backtest
10 trend-following strategies were compared on the full daily history of Coursera, Inc.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.5%, MDD -27.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -30.1%, drawdown -91.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.5%, MDD -27.9%, Sharpe 0.33, 26% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 35.6%p higher than buy and hold, while drawdown improves by 63.3%p (CAGR 5.5%, MDD -27.9%, exposure 26%).
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=7, slow=119 |
5.5% | -27.9% | 0.33 | 0.20 | 1.3x | 9 | 26% |
| SMA 크로스오버 fast=6, slow=126 |
1.8% | -32.8% | 0.20 | 0.06 | 1.1x | 15 | 30% |
| ROC 모멘텀 n=94, threshold=0.12 |
0.7% | -33.2% | 0.15 | 0.02 | 1.0x | 26 | 17% |
| Supertrend period=14, mult=4.7 |
-3.9% | -51.0% | 0.06 | -0.08 | 0.8x | 14 | 40% |
| Donchian 채널 돌파 entryN=61, exitN=53 |
-5.8% | -46.5% | -0.05 | -0.13 | 0.7x | 9 | 31% |
| ADX / DI 방향성 period=18, threshold=13 |
-9.4% | -61.0% | -0.09 | -0.15 | 0.6x | 69 | 35% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-16.5% | -72.3% | -0.25 | -0.23 | 0.4x | 87 | 38% |
| 볼린저 밴드 돌파 n=53, k=1.4 |
-13.0% | -59.2% | -0.31 | -0.22 | 0.5x | 31 | 28% |
| MACD fast=19, slow=45, signal=14 |
-21.9% | -78.5% | -0.33 | -0.28 | 0.3x | 59 | 50% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=15, mult=2.1 |
-11.6% | -49.8% | -0.48 | -0.23 | 0.5x | 21 | 21% |
| Buy and hold | -30.1% | -91.2% | -0.31 | -0.33 | 0.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 7-day EMA crosses above the 119-day EMA
- Sell — Sell when the 7-day EMA falls below the 119-day EMA