Trend-Following Backtester · Guide · backtest 한국어
equity · US
DXC Technology Company backtest
10 trend-following strategies were compared on the full daily history of DXC Technology Company. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.8%, MDD -57.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.4%, drawdown -91.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.8%, MDD -57.4%, Sharpe 0.39, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 34.0%p (CAGR 6.8%, MDD -57.4%, 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=68, slow=174 |
6.8% | -57.4% | 0.39 | 0.12 | 19.0x | 42 | 59% |
| SMA 크로스오버 fast=58, slow=166 |
5.5% | -59.0% | 0.34 | 0.09 | 10.8x | 66 | 58% |
| ROC 모멘텀 n=183, threshold=0.03 |
5.0% | -75.7% | 0.32 | 0.07 | 8.8x | 280 | 53% |
| Donchian 채널 돌파 entryN=115, exitN=75 |
4.4% | -55.4% | 0.30 | 0.08 | 6.9x | 58 | 51% |
| ADX / DI 방향성 period=46, threshold=20 |
1.3% | -27.6% | 0.19 | 0.05 | 1.8x | 42 | 10% |
| Keltner 채널 돌파 emaPeriod=91, atrPeriod=29, mult=1.9 |
0.3% | -80.5% | 0.13 | 0.00 | 1.1x | 217 | 46% |
| Supertrend period=8, mult=4.6 |
-0.2% | -81.6% | 0.12 | -0.00 | 0.9x | 195 | 57% |
| 볼린저 밴드 돌파 n=12, k=3.1 |
0.2% | -15.6% | 0.08 | 0.01 | 1.1x | 8 | 1% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-3.5% | -94.8% | 0.00 | -0.04 | 0.2x | 585 | 53% |
| MACD fast=22, slow=45, signal=23 |
-3.6% | -91.4% | -0.01 | -0.04 | 0.2x | 449 | 52% |
| Buy and hold | 5.4% | -91.5% | 0.33 | 0.06 | 10.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 68-day EMA crosses above the 174-day EMA
- Sell — Sell when the 68-day EMA falls below the 174-day EMA