Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dycom Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Dycom Industries, Inc.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.9%, MDD -68.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 14.5%, drawdown -93.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.9%, MDD -68.1%, Sharpe 0.56, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 25.5%p (CAGR 14.9%, MDD -68.1%, exposure 61%).
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=35, slow=286 |
14.9% | -68.1% | 0.56 | 0.22 | 351.5x | 53 | 61% |
| SMA 크로스오버 fast=35, slow=79 |
14.6% | -80.9% | 0.56 | 0.18 | 314.6x | 127 | 56% |
| Supertrend period=19, mult=4.5 |
13.4% | -85.4% | 0.53 | 0.16 | 199.4x | 152 | 56% |
| Donchian 채널 돌파 entryN=14, exitN=50 |
12.7% | -84.8% | 0.49 | 0.15 | 153.9x | 170 | 75% |
| ADX / DI 방향성 period=34, threshold=16 |
8.2% | -57.1% | 0.43 | 0.14 | 27.9x | 208 | 30% |
| 볼린저 밴드 돌파 n=46, k=1.8 |
8.2% | -73.4% | 0.41 | 0.11 | 28.2x | 212 | 39% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=20, mult=3.4 |
7.6% | -76.1% | 0.40 | 0.10 | 22.2x | 132 | 33% |
| ROC 모멘텀 n=92, threshold=0.04 |
6.8% | -86.7% | 0.36 | 0.08 | 16.1x | 403 | 54% |
| MACD fast=23, slow=64, signal=24 |
6.5% | -85.8% | 0.35 | 0.08 | 14.1x | 366 | 51% |
| Parabolic SAR step=0.005, maxStep=0.16 |
4.7% | -88.0% | 0.31 | 0.05 | 6.9x | 328 | 54% |
| Buy and hold | 14.5% | -93.5% | 0.52 | 0.15 | 299.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 35-day EMA crosses above the 286-day EMA
- Sell — Sell when the 35-day EMA falls below the 286-day EMA